Open AccessThe Effects of Transaction Cost and Correlation of Brownian Motions on an Insurer’s Optimal Investment Strategy through Logarithmic Utility Optimization under Modified Constant Elasticity of Variance (M-CEV) Model
Author(s) -
Silas A. Ihedioha,
Gbenga M. Ogungbenle,
Philip T. Ajai
Publication year - 2020
Publication title -
oalib
Language(s) - English
Resource type - Journals
eISSN - 2333-9721
pISSN - 2333-9705
DOI - 10.4236/oalib.1106488
Subject(s) - logarithm , constant elasticity of variance model , transaction cost , constant (computer programming) , elasticity (physics) , brownian motion , variance (accounting) , economics , econometrics , mathematical optimization , mathematical economics , mathematics , mathematical analysis , computer science , physics , microeconomics , thermodynamics , statistics , volatility (finance) , stochastic volatility , programming language , sabr volatility model , accounting