Asymptotic Portfolio Strategy Based on the CEV Model with General Utility Function
The optimal investment problem is a hot field of financial risk control. The analytical solution of investment strategy can be obtained with the power function utility and exponential function utility when the stock price obeys the constant elasticity of variance (CEV) model. However, different inve...
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| Autores principales: | , , , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Hindawi Limited
2021
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| Acceso en línea: | https://doaj.org/article/2fde6965fc81464fba55ceafeb1d6dc9 |
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