Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model
Hui Zhao; Ximin Rong; Weiqin Ma; Bo Gao
| Year of publication: |
2012
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|---|---|
| Authors: | Zhao, Hui ; Rong, Ximin ; Ma, Weiqin ; Gao, Bo |
| Published in: |
Modern economy. - Irvine, Calif. : Scientific Research Publishing, ISSN 2152-7245, ZDB-ID 2598760-4. - Vol. 3.2012, 6, p. 718-725
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| Subject: | Constant Elasticity of Variance Model | Stochastic Optimal Control | Hamilton-Jacobi-Bellman Equation | Portfolio Selection | Multiple Risky Assets | Stochastic Volatility | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Elastizität | Elasticity | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009720485