• DocumentCode
    3027219
  • Title

    Securities investment funds based on utility maximization model of research and application

  • Author

    Wang, Dong ; Hu, Yue

  • Author_Institution
    Sch. of Sci., Zhejiang Univ. of Sci. & Technol., Hangzhou, China
  • fYear
    2011
  • fDate
    26-28 July 2011
  • Firstpage
    5076
  • Lastpage
    5079
  • Abstract
    Consider the restriction of short selling of securities based on risk, Use utility Function U = a0 + a1Rp + a2Rp2 + a3σp2 The Presence of risk-free asset portfolio optimization model for research and application, given the expected utility maximization when the risk-free assets and risk weighted portfolio analytical expression; through a numerical example is given of its application; this investment solution optimal investment portfolio weighting method on the theory and practice can learn from nature.
  • Keywords
    investment; optimisation; utility theory; optimal investment portfolio weighting method; portfolio optimization model; risk weighted portfolio analytical expression; risk-free asset; securities investment fund; utility function; utility maximization model; Economics; Frequency modulation; Investments; Optimization; Portfolios; Security; Systems engineering and theory; Portfolio Optimization; Risks associated with securities; Utility function;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Multimedia Technology (ICMT), 2011 International Conference on
  • Conference_Location
    Hangzhou
  • Print_ISBN
    978-1-61284-771-9
  • Type

    conf

  • DOI
    10.1109/ICMT.2011.6001913
  • Filename
    6001913
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3027219