Robust Portfolio Choice under the Modified Constant Elasticity of Variance-Reference-Cited by-同舟云学术

Robust Portfolio Choice under the Modified Constant Elasticity of Variance

Published:2024-01-30 Issue:3 Volume:12 Page:440
ISSN:2227-7390
Container-title:Mathematics
language:en
Short-container-title:Mathematics

Author:

Fan Wei Li¹,Anel Marcos Escobar¹^ORCID

Affiliation:

1. Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON N6A 5B7, Canada

Abstract

This study investigates ambiguity aversion within the framework of a utility-maximizing investor under a modified constant-elasticity-of-volatility (M-CEV) model for the underlying asset. We derive closed-form solutions of a non-affine type for the optimal allocation and value function via a Cauchy problem. This work generalizes previous results in non-ambiguous settings by extending existing work to Hyperbolic Absolute Risk Aversion utility (HARA), correcting some typos in the literature for Constant Relative Risk Aversion utility (CRRA). Helpful details and derivations are also included in the manuscript.

Publisher

MDPI AG

Link

https://www.mdpi.com/2227-7390/12/3/440/pdf

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