Analysis of optimal portfolio with different utility function

MaRDI QIDQ6951829zbMATH OpenFDO

Authors Yuan Yao, Benshan Shi

Publication date 28 July 2025

Published in Chinese Quarterly Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://sxjk.magtechjournal.com/EN/Y2006/V21/I1/124

zbMATH Keywords

optimizationportfolioexpected utility functionrisk neutral probability

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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