The \textit{CEV} model and its application in a study of optimal investment strategy
Summary: The constant elasticity of variance ( \textit{CEV}) model is used to describe the price of the risky asset. Maximizing the expected utility relating to the Hamilton-Jacobi-Bellman ( \textit{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.
scientific article; zbMATH DE number 7016158