Optimal investment and consumption decisions under the constant elasticity of variance model
zbMATH Open1299.91115MaRDI QIDQ474344FDOQ474344
Authors: Hao Chang, Chu-bing Zhang, Hui Zhao, Ximin Rong 
Publication date: 24 November 2014
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10) General considerations in statistical decision theory (62C05) Utility theory (91B16) PDEs in connection with control and optimization (35Q93) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cited In (15)
- Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- Elasticity approach to asset allocation in discrete time
- Optimal portfolio and consumption rule with a CIR model under HARA utility
- Optimal investment strategies for general utilities under dynamic elasticity of variance models
- Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
- Optimal investment strategies for the HARA utility under the constant elasticity of variance model
- The role of health in consumption and portfolio decision-making: insights from state-dependent models
- 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 consumption and investment under time-varying relative risk aversion
- Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model
- Determining equivalent administrative charges for defined contribution pension plans under CEV model
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