Portfolio selection problem with multiple risky assets under the constant elasticity of variance model

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Affiliation of Author(s):School of Sciences

Journal:INSURANCE MATHEMATICS & ECONOMICS

Place of Publication:NETHERLANDS

Key Words:Portfolio selection; CEV model; HJB equation; Utility maximization; Stochastic optimal control

Abstract: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.

All the Authors:Zhao Hui, Rong Ximin

First Author:Zhao Hui

Indexed by:Unit Twenty Basic Research

Correspondence Author:Rong Ximin

Document Code:SCI: 892CL

Volume:50

Issue:1

Page Number:179-190

ISSN No.:0167-6687

Translation or Not:no