Analysis of Optimal Portfolio with Different Utility Function

Chinese Quarterly Journal of Mathematics ›› 2006, Vol. 21 ›› Issue (1): 124-128.

Analysis of Optimal Portfolio with Different Utility Function

School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China; School of Business Administration, Henan University, Kaifeng 475001, China

Received:2003-10-10 Online:2006-03-30 Published:2023-12-26
About author:YAO Yuan(1975-),female,native of Kaifeng,Henan,a lecturer of Henan University,Ph. D.,engages in financial engineering and investment;SHI Ben-shan(1958-),male,native of Shangqui,Henan,a professor of Southwest Jiaotong University,engages in investment decision and risk management.

Abstract

Abstract: The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure (martingale measure) if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.

Key words: expected utility , function;optimization;portfolio;risk , neutral probability

CLC Number:

F224

YAO Yuan, SHI Ben-shan . Analysis of Optimal Portfolio with Different Utility Function[J]. Chinese Quarterly Journal of Mathematics, 2006, 21(1): 124-128.

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Analysis of Optimal Portfolio with Different Utility Function

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