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Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model
School of Science, Tianjin University, Tianjin, China
School of Science, Tianjin University, Tianjin, China
School of Science, Tianjin University, Tianjin, China
School of Science, Tianjin University, Tianjin, China
- 1 School of Science, Tianjin University, Tianjin, China
- 2 School of Science, Tianjin University, Tianjin, China
- 3 School of Science, Tianjin University, Tianjin, China
- 4 School of Science, Tianjin University, Tianjin, China
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Abstract
This paper studies the optimal investment problem for utility maximization with multiple risky assets under the constant elasticity of variance (CEV) model. By applying stochastic optimal control approach and variable change technique, we derive explicit optimal strategy for an investor with logarithmic utility function. Finally, we analyze the properties of the optimal strategy and present a numerical example.
KeywordsConstant Elasticity of Variance ModelStochastic Optimal ControlHamilton-Jacobi-Bellman EquationPortfolio SelectionMultiple Risky AssetsStochastic Volatility
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