The \textit{CEV} model and its application in a study of optimal investment strategy (Q1718118)
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| English | The \textit{CEV} model and its application in a study of optimal investment strategy |
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The \textit{CEV} model and its application in a study of optimal investment strategy (English)
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8 February 2019
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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.
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