We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
On the constant elasticity of variance model for the utility maximization problem with multiple risky assets.
- Authors
HUI ZHAO; XIMIN RONG
- Abstract
In this paper, we study the portfolio selection problem with a risk-free asset and multiple risky assets under the constant elasticity of variance (CEV) model. The aim is to maximize the different utilities of an investor's terminal wealth. The Hamilton-Jacobi-Bellman equation associated with the optimization problem is established via stochastic control theory and we obtain the explicit solutions for the exponential and power utility functions, respectively. We find that for a portfolio selection problem concerning risky assets with the CEV price processes, the n-dimensional case is quite different from the one-dimensional case. Furthermore, the properties of optimal strategies are analysed and a numerical analysis is presented to illustrate our results.
- Subjects
HAMILTON-Jacobi-Bellman equation; NUMERICAL analysis; STOCHASTIC control theory; RISK aversion; MARTINGALES (Mathematics)
- Publication
IMA Journal of Management Mathematics, 2017, Vol 28, Issue 2, p299
- ISSN
1471-678X
- Publication type
Article
- DOI
10.1093/imaman/dpv011