Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
Author:
Affiliation:
1. School of Mathematical Sciences, Tiangong University, Tianjin, China
2. School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, New Zealand
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.1907411
Reference29 articles.
1. Consumption and Portfolio Decisions when Expected Returns are Time Varying
2. Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform
3. Legendre Transform-Dual Solution for a Class of Investment and Consumption Problems with HARA Utility
4. Optimal Investment and Consumption Decisions under the Constant Elasticity of Variance Model
5. Optimal consumption and portfolio policies when asset prices follow a diffusion process
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