TheCEVModel and Its Application in a Study of Optimal Investment Strategy-Reference-Cited by-同舟云学术

TheCEVModel and Its Application in a Study of Optimal Investment Strategy

Published:2014 Issue: Volume:2014 Page:1-7
ISSN:1024-123X
Container-title:Mathematical Problems in Engineering
language:en
Short-container-title:Mathematical Problems in Engineering

Author:

Wang Aiyin¹²,Yong Ls¹,Wang Yang¹,Luo Xuanjun¹

Affiliation:

1. The School of Finance, Southwestern University of Finance and Economics, Chengdu 610074, China

2. Department of Mathematics, Xinjiang University of Finance and Economics, Urumqi 830012, China

Abstract

The constant elasticity of variance (CEV) model is used to describe the price of the risky asset. Maximizing the expected utility relating to the Hamilton-Jacobi-Bellman (HJB) equation which describes the optimal investment strategies, we obtain a partial differential equation. Applying the Legendre transform, we transform the equation into a dual problem and obtain an approximation solution and an optimal investment strategies for the exponential utility function.

Publisher

Hindawi Limited

Subject

General Engineering,General Mathematics

Link

http://downloads.hindawi.com/journals/mpe/2014/317071.pdf

Reference19 articles.

1. An Optimal Investment/Consumption Model with Borrowing

2. Optimal Consumption and Portfolio Choice with Borrowing Constraints

3. Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints

4. The valuation of options for alternative stochastic processes

5. Computing the Constant Elasticity of Variance Option Pricing Formula

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Contact Symmetries and Linearization of Certain Classes of Financial Models;International Journal of Applied and Computational Mathematics;2023-12-27

2. Possibility of the modelling of electricity production from hydropower;E3S Web of Conferences;2019

3. Determining Equivalent Administrative Charges for Defined Contribution Pension Plans under CEV Model;Mathematical Problems in Engineering;2018-09-05