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E.V. Nazarova, T.A. Osechkina
Perm National Research Politechnic University, Perm, Russia
THE UTILITY FUNCTION AND ITS APPROACH
TO THE FORMATION OF AN OPTIMAL PORTFOLIO
This article discusses an approach to the formation of an optimal portfolio based on the utility
function. The function takes into account the investor's attitude to risk. We consider three basic types of
utility functions depending on the investor's attitude to risk: the utility function for the cautious investor,
for risk neutral and risk-related. The constructed model of the investment portfolio is checked for adequacy and applicability in practice for investment.
Keywords: portfolio investment, utility function, expected return, risk, profitability.
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About the authors
Nazarova Elena Vladimirovna (Perm, Russia) – student, Department of
Applied Mathematics, Perm National Research Politechnic University
(29, Komsomolsky av., Perm, 614990, Russia, e-mail: lena22.89@list.ru).
Osechkina Tatyana Alekseevna (Perm, Russia) – Ph.D. of Physical and Mathematic Sciences, Associate Professor, Department of Applied Mathematics, Perm National Research Polytechnic University (29, Komsomolsky av., Perm, 614990, Russia, e-mail: litvinova90-210@mail.ru).
135