The CEV Model and Its Application in a Study of Optimal Investment Strategy
Joint Authors
Luo, Xuanjun
Wang, Yang
Wang, Aiyin
Yong, Ls
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-08-12
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract 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.
American Psychological Association (APA)
Wang, Aiyin& Yong, Ls& Wang, Yang& Luo, Xuanjun. 2014. The CEV Model and Its Application in a Study of Optimal Investment Strategy. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-462963
Modern Language Association (MLA)
Wang, Aiyin…[et al.]. The CEV Model and Its Application in a Study of Optimal Investment Strategy. Mathematical Problems in Engineering No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-462963
American Medical Association (AMA)
Wang, Aiyin& Yong, Ls& Wang, Yang& Luo, Xuanjun. The CEV Model and Its Application in a Study of Optimal Investment Strategy. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-462963
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-462963
