The \textit{CEV} model and its application in a study of optimal investment strategy
type: Item
instance of: scholarly article
title: The \textit{CEV} model and its application in a study of optimal investment strategy
zbMATH Open document ID: 1407.91239
DOI: 10.1155/2014/317071
author: Aiyin Wang
author: Ls Yong
author: Yang Wang
author: Xuanjun Luo
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7016158
Wikidata QID: Q59065835
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/317071
OpenAlex ID: W2082833811
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description: scientific article; zbMATH DE number 7016158