The CEV Model and Its Application in a Study of Optimal Investment Strategy

الملخص EN

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.