Portfolio selection problem with multiple risky assets under the constant elasticity of variance model

DOI10.1016/j.insmatheco.2011.10.013zbMath1235.91159OpenAlexW2017465488MaRDI QIDQ2427824

Xi-Min Rong, Hui Zhao

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.013

zbMATH Keywords

stochastic optimal controlHJB equationutility maximizationportfolio selectionCEV model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

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