荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
点击次数:
- 所属单位:School of Sciences
- 发表刊物:IMA JOURNAL OF MANAGEMENT MATHEMATICS
- 刊物所在地:ENGLAND
- 关键字:constant elasticity of variance model; Hamilton-Jacobi-Bellman equation; portfolio selection; power
- 摘要: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.
- 合写作者:Zhao Hui, Rong Ximin
- 第一作者:Zhao Hui
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI: EU4MN
- 卷号:28
- 期号:2
- 页面范围:299-320
- ISSN号:1471-678X
- 是否译文:否