The CEV Model and Its Application in a Study of Optimal Investment Strategy

Aiyin Wang, Ls Yong, Yang Wang and Xuanjun Luo

Mathematical Problems in Engineering, 2014, vol. 2014, 1-7

Abstract:

The constant elasticity of variance ( CEV ) model is used to describe the price of the risky asset. Maximizing the expected utility relating to the Hamilton-Jacobi-Bellman ( HJB ) equation which describes the optimal investment strategies, we obtain a partial differential equation. Applying the Legendre transform, we transform the equation into a dual problem and obtain an approximation solution and an optimal investment strategies for the exponential utility function.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:317071

DOI: 10.1155/2014/317071

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