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
Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
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- 所属单位:School of Sciences
- 发表刊物:INSURANCE MATHEMATICS & ECONOMICS
- 刊物所在地:NETHERLANDS
- 关键字:Portfolio selection; CEV model; HJB equation; Utility maximization; Stochastic optimal control
- 摘要:This paper focuses on the constant elasticity of variance (CEV) model for studying the utility maximization portfolio selection problem with multiple risky assets and a risk-free asset. The Hamilton-Jacobi-Bellman (HJB) equation associated with the portfolio optimization problem is established. By applying a power transform and a variable change technique, we derive the explicit solution for the constant absolute risk aversion (CARA) utility function when the elasticity coefficient is -1 or 0.
- 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:Rong Ximin
- 论文编号:SCI: 892CL
- 卷号:50
- 期号:1
- 页面范围:179-190
- ISSN号:0167-6687
- 是否译文:否