Optimal investment strategy for a family with a random household expenditure under the CEV model-Reference-Cited by-同舟云学术

Optimal investment strategy for a family with a random household expenditure under the CEV model

Published:2020-11-26 Issue: Volume: Page:1-25
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Li Danping¹^ORCID,Liu Xiaotao²,Liu Hailong²

Affiliation:

1. School of Statistics, Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, Faculty of Economics and Management, East China Normal University, Shanghai, China;

2. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1851718

Reference34 articles.

1. Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model

2. Dynamic Mean-Variance Asset Allocation

3. The Constant Elasticity of Variance Model and Its Implications For Option Pricing

4. The pricing of commodity contracts

5. Pricing Lookback and Barrier Options under the CEV Process

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