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- Title
Robust Portfolio Choice under the Modified Constant Elasticity of Variance.
- Authors
Fan, Wei Li; Anel, Marcos Escobar
- Abstract
This study investigates ambiguity aversion within the framework of a utility-maximizing investor under a modified constant-elasticity-of-volatility (M-CEV) model for the underlying asset. We derive closed-form solutions of a non-affine type for the optimal allocation and value function via a Cauchy problem. This work generalizes previous results in non-ambiguous settings by extending existing work to Hyperbolic Absolute Risk Aversion utility (HARA), correcting some typos in the literature for Constant Relative Risk Aversion utility (CRRA). Helpful details and derivations are also included in the manuscript.
- Subjects
CAUCHY problem; AMBIGUITY; RISK aversion; ELASTICITY; EXPECTED utility; AVERSION
- Publication
Mathematics (2227-7390), 2024, Vol 12, Issue 3, p440
- ISSN
2227-7390
- Publication type
Article
- DOI
10.3390/math12030440