Optimal investment strategies for the HARA utility under the constant elasticity of variance model

DOI10.1016/j.insmatheco.2012.09.009zbMath1285.91119OpenAlexW1994426469MaRDI QIDQ2447422

Eun Ju Jung, Jai Heui Kim

Publication date: 25 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.09.009

zbMATH Keywords

stochastic optimal controlLegendre transformHJB equationconstant elasticity of variance modelHARA utility function

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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Cites Work

• Unnamed Item
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• A stability result for the HARA class with stochastic interest rates.
• Stochastic optimal control of annuity contracts.
• Stochastic differential equations. An introduction with applications.