双指数效用函数组合投资决策

摘要

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.%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．