Optimal Portfolio Selection Using Tangent Utility Function

摘要：

The problem of portfolio optimization involves selecting appropriate stocks for investment by maximizing the returns from the portfolio at a certain level of risk. The current approaches center around Markowit zs mean variance optimization method that suffers fro m several limitations like instability of beta, and are either computation extensive or lead to sub-optimal solutions. The present work puts forward a new method to solve this problem. We provide a hyperbolic tangent utility function and covert it into indifference curves. Finally, we supply an instance to find the optimal portfolio using t he hyperbolic tangent utility function.

关键词： utility function indifference curves portfolio selection

作者: Liu Chao

作者单位: Business School, Shandong University at Weihai, Weihai, P.R.China, 264209

会议类型: 国际会议

会议名称: 4th International Conference on Productinnovation Management(第四届产品创新管理国际会议)

会议地点: 武汉

会议语种:英文

页码: 1157-1162

在线出版日期: 2009-08-22（万方平台首次上网日期，不代表论文的发表时间）