Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
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Publication:2977927
DOI10.1002/mma.4060zbMath1372.35121OpenAlexW2470962121MaRDI QIDQ2977927
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Publication date: 20 April 2017
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.4060
fundamental solutionsCauchy problemLie symmetryCEV modelinvestment-consumption probleminvariant approach
Heat equation (35K05) Solutions to PDEs in closed form (35C05) Symmetries, invariants, etc. in context of PDEs (35B06)
Related Items (4)
Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ A terminal condition in linear bond-pricing under symmetry invariance ⋮ Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility ⋮ Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
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Cites Work
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