Maximization of utility and portfolio selection models

Authors

  • João Francisco Neves Programa de Pós-graduação em Ciências Computacionais (IME/UERJ) / Discente
  • Patrícia Nunes da Silva Departamento de Análise Matemática (IME/UERJ)/Docente
  • Carlos Frederico Fragoso de Barros e Vasconcellos IME/UERJ/FAPERJ /pesquisador visitante

DOI:

https://doi.org/10.12957/cadmat.2017.29731

Keywords:

Expected utility. Portfolio selection. Odd and even moments.

Abstract

Modern portfolio theory deals with the combination of assets into a portfolio.It has diversification and maximization of expected utility as foundational principles. Its purpose is to find the portfolio which best meet the objectives of the investor. Markowitz and Athayde e Flôres have characterized the portfolios as solutions of constrained optimization problems.However, the relationship between the proposed problems and the utility maximization principle is not clear.Taking into account the results of Scott and Horvath, we prove that such problems correspond to the maximization of the of expected utility of the investor underlying each of the models.

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Published

2017-11-09

How to Cite

Neves, J. F., Nunes da Silva, P., & Fragoso de Barros e Vasconcellos, C. F. (2017). Maximization of utility and portfolio selection models. Cadernos Do IME - Série Matemática, (11), 18–23. https://doi.org/10.12957/cadmat.2017.29731

Issue

No. 11 (2017)

Section

Articles

License

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