TheCEVModel and Its Application in a Study of Optimal Investment Strategy | Zendy

Aiyin Wang | Zendy; Ls Yong | Zendy; Yang Wang | Zendy; Xuanjun Luo | Zendy

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TheCEVModel and Its Application in a Study of Optimal Investment Strategy

Author(s) -

Aiyin Wang,

Ls Yong,

Yang Wang,

Xuanjun Luo

Publication year - 2014

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2014/317071

Subject(s) - hamilton–jacobi–bellman equation , exponential utility , constant elasticity of variance model , legendre transformation , exponential function , bellman equation , mathematics , legendre polynomials , partial differential equation , mathematical optimization , elasticity (physics) , dual (grammatical number) , mathematical economics , volatility (finance) , mathematical analysis , econometrics , stochastic volatility , art , materials science , literature , composite material , sabr volatility model

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

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