{"entities":{"Q1723934":{"pageid":1734675,"ns":120,"title":"Item:Q1723934","lastrevid":56910702,"modified":"2026-03-24T14:22:38Z","type":"item","id":"Q1723934","labels":{"en":{"language":"en","value":"Continuous-time mean-variance portfolio selection under the CEV process"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 7022228"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$118BD008-4DA2-4BCF-BD51-47132F0E1E3A","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"7084f147d0885687ffaac6439abe3f8f5b1d7fac","datavalue":{"value":{"text":"Continuous-time mean-variance portfolio selection under the CEV process","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1723934$ADAEFFFE-C97E-4AC0-A0AE-A918F38BF72D","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"08ad3afa434aacd95fa8e26b0f1805e9b8e0cb6a","datavalue":{"value":"1406.91419","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$2DFB0228-0E5B-45F9-AF61-728BB8159B6A","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"0e2291eb3883d3d99ebc01103127bc63c8687154","datavalue":{"value":"10.1155/2014/363046","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$CE549EA7-3AF6-4410-A8FA-3243407A15E8","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"b1861c75ea8a2bbf39ee7b071e93c116b6d23ce8","datavalue":{"value":{"entity-type":"item","numeric-id":364367,"id":"Q364367"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$7C1EA664-9DCC-4593-BEA1-1BDB008E1114","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"d57614e948fd3618212cc11761c25c64d9f566a6","datavalue":{"value":{"entity-type":"item","numeric-id":162718,"id":"Q162718"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$8C5C09FE-6F49-4381-B543-7D71F73F523A","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"d3988244ea333fe3befee59d428db74e7ba16624","datavalue":{"value":{"time":"+2019-02-14T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1723934$6494A689-0FF2-4092-9E0B-CBE2EE5698C7","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"5a61dd3a4a891090afd0109e7a317f3bef1b9228","datavalue":{"value":"Summary: We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1723934$6F22F69C-B9A4-4AD6-9A11-E1661C3A8002","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"7f918b855cc4e1ef3c50dee94916276dca231342","datavalue":{"value":"91G10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$BD36837A-A785-439A-A07F-E2D38A8FF88D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"ccd1dd4cefa81e8158b9f080486a4eaed61a9ee8","datavalue":{"value":"90C25","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$54EA248B-EF0D-4DFB-A58A-C9E7064F21DA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"e3bc6c7cda8279d6ad2b578e7a7e4967447c3cc4","datavalue":{"value":"93E20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$5274E6D7-A4C0-4E81-A744-B24C457E55DE","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"3fff37e423345ed39bc5391d488c25fcec591477","datavalue":{"value":"7022228","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$7580B17C-DBD3-4B30-9758-21EB212FB782","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b3c4b34fbcfad72a2d76f60a57cb4d8c778e15d7","datavalue":{"value":"mean-variance portfolio selection","type":"string"},"datatype":"string"},"type":"statement","id":"Q1723934$76FA64B2-4F6D-41CA-91C0-AB9B52814C3F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"d927a41f3a436257b525af2b8d589fe5334c1e54","datavalue":{"value":"convex program problem","type":"string"},"datatype":"string"},"type":"statement","id":"Q1723934$783BDDA6-0E19-4BD3-891A-89A7FE8D4746","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"6d35e880ae23fd41bbf85e0798dfd54bb17d4ffe","datavalue":{"value":"stochastic optimal control","type":"string"},"datatype":"string"},"type":"statement","id":"Q1723934$F9FA4D19-519A-4002-9568-9FAC21F5F09D","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"65ddcb73e909fa1e74d452ae38cf17c3d6dd308d","datavalue":{"value":"Q59036651","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$CB45EA75-CAFF-4665-8CCC-C48EA0AA0FFA","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$F4342624-CFAA-4CD2-AE7E-D0E24A672B3D","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"d4880a984b18658cb64fba26b79ca3276fddaea4","datavalue":{"value":"https://doi.org/10.1155/2014/363046","type":"string"},"datatype":"url"},"type":"statement","id":"Q1723934$6259E1E0-A29E-4E9B-AA1E-5BDE0AA35EFE","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"75555afdfe1adc6a7fc9f78674c1db98844958e9","datavalue":{"value":"W2005708118","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1723934$CD547BDC-D977-4021-8C84-5468549EE929","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"a9f4e86a2c40f67570f11d81b6b61ebb4544f7e5","datavalue":{"value":{"entity-type":"item","numeric-id":2707157,"id":"Q2707157"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$1AA192E5-24BA-4973-9AC2-26B18755590F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8bc711f7e4ec869c78526caaf179d16ccc5b951e","datavalue":{"value":{"entity-type":"item","numeric-id":1573569,"id":"Q1573569"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$8BD0AF16-40B9-4B9A-B036-C69F878C75A2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4e5a3ce65e414a6dc45442bff63074723f081642","datavalue":{"value":{"entity-type":"item","numeric-id":860504,"id":"Q860504"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$404D0E50-585A-4560-9ECE-E73D526E51BC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"19c1af961fec995c0c14c9186080f55b95d2c191","datavalue":{"value":{"entity-type":"item","numeric-id":4537800,"id":"Q4537800"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$9E141B96-2FB0-41F9-A09B-B0B66A933239","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1d05a09d534a88014b8a41b46456f088ec982239","datavalue":{"value":{"entity-type":"item","numeric-id":5704066,"id":"Q5704066"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$D13999FA-90BB-4EE3-B391-703646A963FE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1757e8374031efd9d232e02ca7e2856fb31d821a","datavalue":{"value":{"entity-type":"item","numeric-id":5704164,"id":"Q5704164"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$BB742641-038D-478B-BAF1-5AF42C13B0E0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5422cd5513bf6abee048a23335378eef41ca28c9","datavalue":{"value":{"entity-type":"item","numeric-id":931178,"id":"Q931178"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$AC861D49-CFCF-406D-A646-1224C43BB829","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6299ece67afb711fcf3df522d49a179a9fa17135","datavalue":{"value":{"entity-type":"item","numeric-id":659108,"id":"Q659108"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$5F968E20-2987-4297-A08E-1D09A9CC4A28","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b7bcd9c8d90ff50441811e2662c4d28746dade63","datavalue":{"value":{"entity-type":"item","numeric-id":4443049,"id":"Q4443049"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$47B80899-59E9-4EE3-B1C3-0E8F55069424","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4c5fee66d7bd5f58327f968b6510d2a0ba823cf1","datavalue":{"value":{"entity-type":"item","numeric-id":3114712,"id":"Q3114712"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$138566E7-365F-4E5E-93EC-80998E201674","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fb796f462f5ecb8dc16406c27205c8ad60528c15","datavalue":{"value":{"entity-type":"item","numeric-id":995510,"id":"Q995510"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$3A9A8AF7-1D7F-4357-AF77-F01B578F9547","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7774c749126222929c67991554f5356055029058","datavalue":{"value":{"entity-type":"item","numeric-id":1023114,"id":"Q1023114"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$EA25E484-D9E3-499C-8FE3-AA31F501D96C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"562d0afd4efb48fdb68fa563250e25b3e741d29e","datavalue":{"value":{"entity-type":"item","numeric-id":661201,"id":"Q661201"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$6934C6C9-3FAE-4B67-A3B1-9B32A758344C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1356982a36837f1d836ed3c95a446afede20f30d","datavalue":{"value":{"entity-type":"item","numeric-id":814890,"id":"Q814890"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$F3973200-17A5-4E2C-8E61-BA43DF5AA9C0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9204d85ec08f8a9cd4b11b84dfae81eebb1c9a8d","datavalue":{"value":{"entity-type":"item","numeric-id":654939,"id":"Q654939"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$159845B4-0F88-4565-A4D3-C06E3FC0C21D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b37d8fc8a4928d73cf5fa877fd27b9ef98f2101c","datavalue":{"value":{"entity-type":"item","numeric-id":5576683,"id":"Q5576683"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$89BDE643-9A36-48FF-8631-AF1AAE1FA904","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"21ee5b314911fc2ff7f5d5363c6e14315c9da5f7","datavalue":{"value":{"entity-type":"item","numeric-id":1789866,"id":"Q1789866"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"39f3d43c7b9025adfe19dd3393132b9eacd3a44e","datavalue":{"value":{"amount":"+0.8837555050849915","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1723934$45FB7FE3-C81F-4D14-B49C-53DB3C803B35","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2f3659d91dc5a67df1c8ccb39e696a5dbff3bb0a","datavalue":{"value":{"entity-type":"item","numeric-id":1785248,"id":"Q1785248"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d37634ef6dbcea4d145710de9ea34f39ab372890","datavalue":{"value":{"amount":"+0.8733601570129395","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1723934$E8C3D5E8-B1F3-4DC0-8054-0E7CFF8A52C6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7ea17c65a9396ce7bf7816d090347bc98b16cc6d","datavalue":{"value":{"entity-type":"item","numeric-id":2427824,"id":"Q2427824"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"eddcada4a3ca6578229cfd6f584f84e5e2e20670","datavalue":{"value":{"amount":"+0.853656530380249","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1723934$75B5F0A6-17F9-4D24-BAEE-093A8C81F8CD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"91a75888247b26d5cdf430a5be1b0890fa89ca62","datavalue":{"value":{"entity-type":"item","numeric-id":5382722,"id":"Q5382722"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"db8f40ee333a412bf1b3e044306f84252ff36dcf","datavalue":{"value":{"amount":"+0.8455644845962524","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1723934$8A59912A-7FF5-4EFE-9C4F-D017E9C73ECD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"10b3da3496b91f69746da91873802ba4091d67a0","datavalue":{"value":{"entity-type":"item","numeric-id":5170138,"id":"Q5170138"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"98382ccca491db53c63e527016e838cbf08637fe","datavalue":{"value":{"amount":"+0.828252911567688","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1723934$C5859262-A2B5-4031-825E-E6297E18D155","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"daf5f856a5d861312ad309ab567540337a5f61d6","datavalue":{"value":{"entity-type":"item","numeric-id":57050,"id":"Q57050"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1723934$3A84D2B0-9931-421F-A39D-78DA754894C0","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:1723934","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:1723934"}}}}}