The CEV Model and Its Application in a Study of Optimal Investment Strategy. (12th August 2014)

• Record Type: Journal Article
• Authors: Wang, Aiyin; Yong, Ls; Wang, Yang; Luo, Xuanjun
• Other Names: Zhong Shouming Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2014(2014)
• Publication Date: 2014-08-12
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2014/317071
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : 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.