On the constant elasticity of variance model for the utility maximization problem with multiple risky assets

Hits:

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