School of Mathematics
Associate professor
Current position: 荣喜民 > Academic Achievements > Selected Papers
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Affiliation of Author(s):School of Sciences
Journal:IMA JOURNAL OF MANAGEMENT MATHEMATICS
Place of Publication:ENGLAND
Key Words:constant elasticity of variance model; Hamilton-Jacobi-Bellman equation; portfolio selection; power
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.
All the Authors:Zhao Hui, Rong Ximin
First Author:Zhao Hui
Indexed by:Unit Twenty Basic Research
Correspondence Author:Zhao Hui
Document Code:SCI: EU4MN
Volume:28
Issue:2
Page Number:299-320
ISSN No.:1471-678X
Translation or Not:no