Portfolio selection problem with multiple risky assets under the constant elasticity of variance model

► We study a portfolio selection model with multiple risky assets under the CEV model. ► Explicit solutions are obtained for special elasticity coefficients of the model. ► Another model with two risky assets and a risk-free asset is proposed. ► A general strategy for utility maximization is obtained under a given assumption. ► The analytical and numerical results of the two models are similar.