Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model

DOI10.1080/03610926.2021.1907411OpenAlexW3155852485MaRDI QIDQ5057355

Xingjiang Chen, Hao Chang, Xue-Yan Li

Publication date: 16 December 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1907411

zbMATH Keywords

constant elasticity of variance modelinvestment and consumptionhyperbolic absolute risk aversion utilityLegendre transform-dual theorystochastic optimal control theory

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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