Optimal investment strategies for the HARA utility under the constant elasticity of variance model
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Cites work
- A stability result for the HARA class with stochastic interest rates.
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- scientific article; zbMATH DE number 2110605 (Why is no real title available?)
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- Stochastic differential equations. An introduction with applications.
- Stochastic optimal control of annuity contracts.
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
Cited in
(38)- Optimal portfolio and consumption rule with a CIR model under HARA utility
- The \textit{CEV} model and its application in a study of optimal investment strategy
- Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
- Portfolio selection with liability and affine interest rate in the HARA utility framework
- A solvable time-inconsistent principal-agent problem
- Mean-variance portfolio selection under a constant elasticity of variance model
- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Reference-dependent aggregation in multi-attribute group decision-making
- Interval generalized ordered weighted utility multiple averaging operators and their applications to group decision-making
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- A convergence of optimal investment strategies for the HARA utility functions
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
- Generalized ordered weighted utility proportional averaging-hyperbolic absolute risk aversion operators and their applications to group decision-making
- Generalized ordered weighted utility averaging-hyperbolic absolute risk aversion operators and their applications to group decision-making
- Family optimal investment decision-making problem under CEV model
- Optimal investment strategies for general utilities under dynamic elasticity of variance models
- Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model
- 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
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- Optimal investment strategy for asset-liability management under the Heston model
- Inter‐temporal mutual‐fund management
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Optimal investment strategy under the CEV model with stochastic interest rate
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes
- Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility
- Contact symmetries and linearization of certain classes of financial models
- Optimal Management of the Collective Defined Contribution Pension Plan With Long-Term Care Insurance
- Constant elasticity of variance model and analytical strategies for annuity contracts
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