Decision-making of portfolio investment with linear plus double exponential utility function
نویسندگان
چکیده
منابع مشابه
Applying Linguistic Promethee Method in Investment Portfolio Decision-making
The paper proposed a linguistic PROMETHEE approach for making investment portfolio decision. First, we both consider quantitative and qualitative information of each stock and use 2-tuple linguistic value for experts to express their opinions to obtain qualitative information with respect to all evaluation criteria. Then, the transformation method of 2-tuple linguistic variable is applied to ag...
متن کاملDouble-Exponential Utility Functions
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملOptimization of Bank Portfolio Investment Decision Considering Resistive Economy
Increasing economy’s resistance against the menace of sanctions, various risks, shocks, and internal and external threats are one of the main national policies which can be implemented through bank investments. Investment project selection is a complex and multi-criteria decision-making process that is influenced by multiple and often some conflicting objectives. This paper studies portfolio inve...
متن کاملFuzzy Investment Decision Making
Recent literature on fuzzy numbers is rich of several approaches to approximate operations between fuzzy numbers. The desirable feature is to preserve the real shape of the fuzzy numbers resulting from the operations, without loosing in simplicity and applicability and in goodness of the approximations. In some recent papers we introduce a representation of the fuzzy numbers, based on the use o...
متن کاملPortfolio selection in stochastic markets with exponential utility functions
We consider the optimal portfolio selection problem in a multiple period setting where the investor maximizes the expected utility of the terminal wealth in a stochastic market. The utility function has an exponential structure and the market states change according to a Markov chain. The states of the market describe the prevailing economic, financial, social and other conditions that affect t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: RAIRO - Operations Research
سال: 2013
ISSN: 0399-0559,1290-3868
DOI: 10.1051/ro/2013043