Optimal investment strategy under the CEV model with stochastic interest rate

DOI10.1155/2020/7489174MaRDI QIDQ6534599zbMATH OpenFDO

Authors Yong He, Pei-Min Chen

Publication date 7 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 2110605 (Why is no real title available?)
• A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
• An Application of Stochastic Control Theory to Financial Economics
• An Optimal Investment/Consumption Model with Borrowing
• An asymptotic expansion approach to pricing financial contingent claims
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Finite horizon optimal investment and consumption with transaction costs
• Optimal consumption and portfolio choice with borrowing constraints
• Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
• Optimal investment and consumption with transaction costs
• Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
• Optimal investment strategies for the HARA utility under the constant elasticity of variance model
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

Cited in

(1)

• Family optimal investment strategy for a random household expenditure under the CEV model

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