双指数效用函数组合投资决策  

Decision-making of portfolio investment with double exponential utility function

作　　者：周庆健[1,2] 吕思瑶[2] 焦佳[2] 赵建[3] 魏连鑫[4] 闫博[5] 

机构地区：[1]大连理工大学系统工程研究所,辽宁大连116024 [2]大连民族学院理学院,辽宁大连116600 [3]同济大学经济与管理学院,上海200092 [4]上海理工大学理学院,上海200093 [5]大连海事大学交通运输管理学院,辽宁大连116026

出　　处：《大连理工大学学报》2011年第5期766-770,共5页Journal of Dalian University of Technology

基　　金：国家自然科学基金资助项目(10872045;11001038);大连民族学院青年基金资助项目(2009A207)

摘　　要：双指数效用函数是一类典型且被投资者广泛应用的风险厌恶型效用函数．首先应用投资学中的无差异曲线法理论求出具有该类型效用函数的投资者的最大期望收益，然后根据Markowitz的均值一方差模型理论推导出投资者的最优组合投资决策方案，给出了相应的组合投资比例，较好地解决了具有该类型效用函数的投资者的最优投资组合决策问题，最后给出实例对所得结果予以验证．Double exponential utility function is one kind of risk-averse utility function, being classic and comprehensively used by investors. Firstly, non-difference curve method in investment theory was used to calculate the maximum expected return for investors. Then, the optimal portfolio investment decision-making was derivated according to Markowitz＇s mean-variance model, and the corresponding investment proportion was given. The optimal portfolio investment decision-making problem with double exponential utility function was solved very well. At last, a numerical example was provided to illustrate the proposed method.

关 键 词：双指数效用函数 投资决策 最优组合 无差异曲线法 

分 类 号：N945[自然科学总论—系统科学]