Optimal investment strategies for the HARA utility under the constant elasticity of variance model

Eun Ju Jung and Jai Heui Kim

Insurance: Mathematics and Economics, 2012, vol. 51, issue 3, 667-673

Abstract: We give an explicit expression for the optimal investment strategy, under the constant elasticity of variance (CEV) model, which maximizes the expected HARA utility of the final value of the surplus at the maturity time. To do this, the corresponding HJB equation will be transformed into a linear partial differential equation by applying a Legendre transform. And we prove that the optimal investment strategy corresponding to the HARA utility function converges a.s. to the one corresponding to the exponential utility function.

Keywords: Stochastic optimal control; Constant elasticity of variance model; HARA utility function; HJB equation; Legendre transform (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:3:p:667-673

DOI: 10.1016/j.insmatheco.2012.09.009

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