Portfolio selection problem with multiple risky assets under the constant elasticity of variance model

DOI10.1016/J.INSMATHECO.2011.10.013zbMath1235.91159OpenAlexW2017465488MaRDI QIDQ2427824

Xi-Min Rong, Hui Zhao

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.013

zbMATH Keywords

stochastic optimal controlHJB equationutility maximizationportfolio selectionCEV model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (12)

Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model ⋮ Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model ⋮ RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ Optimal portfolio and reinsurance with two differential risky assets ⋮ Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ A characterization of optimal portfolios under the tail mean-variance criterion ⋮ Mean-variance portfolio selection under a constant elasticity of variance model ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Mean-variance asset-liability management under constant elasticity of variance process ⋮ A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility

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