Optimal investment strategy under the CEV model with stochastic interest rate

Cites Work

Title not available (Why is that?)
Optimum consumption and portfolio rules in a continuous-time model
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
Constant elasticity of variance model for proportional reinsurance and investment strategies
Optimal investment and consumption with transaction costs
Optimal investment strategies for the HARA utility under the constant elasticity of variance model
The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
Finite Horizon Optimal Investment and Consumption with Transaction Costs
An asymptotic expansion approach to pricing financial contingent claims
An Optimal Investment/Consumption Model with Borrowing
Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
An Application of Stochastic Control Theory to Financial Economics
Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
Optimal consumption and portfolio choice with borrowing constraints
THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model

Cited In (1)

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

This page was built for publication: Optimal investment strategy under the CEV model with stochastic interest rate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6534599)