Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model

DOI: 10.4236/me.2012.36092   PDF   HTML     3,872 Downloads   6,501 Views   Citations

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.

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H. Zhao, X. Rong, W. Ma and B. Gao, "Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model," Modern Economy, Vol. 3 No. 6, 2012, pp. 718-725. doi: 10.4236/me.2012.36092.

Conflicts of Interest

The authors declare no conflicts of interest.

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