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The CEV Model and Its Application in a Study of Optimal Investment Strategy

Author:
Wang, Aiyin  Yong, Ls  Wang, Yang  Luo, Xuanjun  


Journal:
MATHEMATICAL PROBLEMS IN ENGINEERING


Issue Date:
2014


Abstract(summary):

The constant elasticity of variance (CEV) model is used to describe the price of the risky asset. Maximizing the expected utility relating to the Hamilton-Jacobi-Bellman (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.


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