| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076827 | Insurance: Mathematics and Economics | 2012 | 7 Pages |
Abstract
⺠An optimal investment problem under the constant elasticity of variance (CEV) model is studied. ⺠We give an explicit expression for the optimal investment strategy for the HARA utility function. ⺠We prove a convergence of the HARA solution to the exponential one.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Eun Ju Jung, Jai Heui Kim,