The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
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Publication:995510
DOI10.1016/J.INSMATHECO.2006.04.007zbMATH Open1141.91473OpenAlexW1980563255MaRDI QIDQ995510FDOQ995510
Authors: Zhai Hong, Jian-Wu Xiao, Chenglin Qin 
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.007
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CEV modelstochastic optimal controlLegendre transformoptimal investment strategydefined-contribution pension plan
Cites Work
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- Pricing and Hedging Path-Dependent Options Under the CEV Process
- A variational problem arising in financial economics
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Title not available (Why is that?)
- Volatility and stock prices: Implications from a production model of asset pricing
Cited In (63)
- Leverage effect breakdowns and flight from risky assets
- Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- Optimal investment strategy for a robust DC pension plan under the Heston model
- Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Continuous-time mean-variance portfolio selection under the CEV process
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Numerical solutions to lump-sum pension fund problems that can yield left-skewed fund return distributions
- The \(CEV\) model and its application to financial markets with volatility uncertainty
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Stochastic optimal control of DC pension funds
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal portfolios for DC pension plans under a CEV model
- Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- Income drawdown option with minimum guarantee
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Inter‐temporal mutual‐fund management
- Optimal portfolio and consumption rule with a CIR model under HARA utility
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- Optimal investment strategies in the presence of a minimum guarantee.
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
- Family optimal investment strategy for a random household expenditure under the CEV model
- Optimal investment strategy under the CEV model with stochastic interest rate
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
- A general optimization framework for the annuity contracts with multiscale stochastic volatility
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Optimal investment strategies for the HARA utility under the constant elasticity of variance model
- Mean-variance portfolio selection under a constant elasticity of variance model
- Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
- Portfolio optimization under the stochastic elasticity of variance
- Portfolio optimization for pension plans under hybrid stochastic and local volatility.
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Constant elasticity of variance model and analytical strategies for annuity contracts
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Classes of elementary function solutions to the CEV model I
- The \textit{CEV} model and its application in a study of optimal investment strategy
- Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
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