The 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 | Zendy

Silas A. Ihedioha | Zendy; Gbenga M. Ogungbenle | Zendy; Philip T. Ajai | Zendy

Open Access

The 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

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