The Comparative Study on Utility Maximizing of the Portfolio Selection Model

This thesis considers the expected rate of return and risk (variance) comprehensively, proposes the optimal utility maximizing portfolio selection model with different lending and borrowing rate of risk-free asset. It has significance in theory and practice. In this paper, considering the expected rate of the return of the portfolio and its risk (variance), we proposed a maximizing the utility portfolio selection model with risk-free asset, and mainly studied the situation that the lending and borrowing rates of risk-free asset were different. Under no short sales situation, the paper solved the model by the pivoting algorithm. The result indicated that risk preference coefficient without short sales could reflect the investorpsilas expected rate of return and variance within the entire interval. Our algorithm solves the quadric programming problem without adding slack, surplus and artificial variables. It is very efficient and easy to operate. At last, a case has been taken to explore the effective investment portfolio.