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文章基本信息

  • 标题:Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model
  • 本地全文:下载
  • 作者:Hui Zhao ; Ximin Rong ; Weiqin Ma
  • 期刊名称:Modern Economy
  • 印刷版ISSN:2152-7245
  • 电子版ISSN:2152-7261
  • 出版年度:2012
  • 卷号:3
  • 期号:6
  • 页码:718-725
  • DOI:10.4236/me.2012.36092
  • 出版社:Scientific Research Publishing
  • 摘要:This paper studies the optimal investment problem for utility maximization with multiple risky assets under the constant elasticity of variance (CEV) model. By applying stochastic optimal control approach and variable change technique, we derive explicit optimal strategy for an investor with logarithmic utility function. Finally, we analyze the properties of the optimal strategy and present a numerical example.
  • 关键词:Constant Elasticity of Variance Model; Stochastic Optimal Control; Hamilton-Jacobi-Bellman Equation; Portfolio Selection; Multiple Risky Assets; Stochastic Volatility
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