Portfolio selection models with new negative exponential expected utilities

DOI10.15960/J.CNKI.ISSN.1007-6093.2016.01.001MaRDI QIDQ2825050zbMATH OpenFDO

Authors Tianwen Fu, Zhuozhuo Tu, Boyang Wei

Publication date 6 October 2016

Published in Operations Research Transactions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15960/J.CNKI.ISSN.1007-6093.2016.01.001

zbMATH Keywords

market frictionsnegative exponential expected utilityperformance ratioportfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(3)

• The optimal portfolio selection model under \(g\)-expectation
• Decision-making of portfolio investment with double exponential utility function
• Decision-making of portfolio investment with linear plus double exponential utility function

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