Title :
The portfolio investment decisions about logarithmic utility
Author :
Xuan, Lanlan ; Hu, Yue
Author_Institution :
Sch. of Sci., Zhejiang Univ. of Sci. & Technol., Hangzhou, China
Abstract :
Logarithmic utility function is a kind of typical risk averse utility function, in this paper, we will study the logarithmic utility function of the optimal portfolio problem. Use the method of Lagrange multiplier to solve the mean-variance efficient frontier, show the result in the r plane; base on the rule of efficient selection of portfolio, find this IDC and obtain optimal portfolio about the utility function; give examples to verify the results in the paper.
Keywords :
decision making; investment; risk analysis; utility theory; IDC; Lagrange multiplier method; efficient portfolio selection; logarithmic utility function; optimal portfolio problem; portfolio investment decision; risk-averse utility function; Educational institutions; Electronic mail; Erbium; Inverse problems; Investments; Portfolios; Logarithmic utility function; Portfolio; efficient frontier; indifference curve; method of Lagrange multipliers;
Conference_Titel :
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-61284-771-9
DOI :
10.1109/ICMT.2011.6003082
