Maximization of utility and portfolio selection models
DOI:
https://doi.org/10.12957/cadmat.2017.29731Palavras-chave:
Expected utility. Portfolio selection. Odd and even moments.Resumo
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.Downloads
Publicado
2017-11-09
Como Citar
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
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Os Direitos Autorais dos artigos publicados no periódico Cadernos do IME - Série Matemática pertencem ao(s) seu(s) respectivo(s) autor(es), com os direitos de primeira publicação cedidos ao periódico.Cadernos do IME - Série Matemática está licenciado com uma Licença Creative Commons Atribuição-NãoComercial-CompartilhaIgual 4.0 Internacional.