On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Hui Zhao and Ximin Rong
| Year of publication: |
April 2017
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|---|---|
| Authors: | Zhao, Hui ; Rong, Ximin |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 28.2017, 2, p. 299-320
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| Subject: | constant elasticity of variance model | Hamilton-Jacobi-Bellman equation | power and exponential utilities maximization | Legendre transform | portfolio selection | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory | Nutzen | Utility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpv011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011723286