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H. Yang and L. Zhang, “Optimal Investment for Insurer with Jump-Diffusion Risk Process,” Insurance: Mathematics and Economics, Vol. 37, No. 3, 2005, pp. 615-634. doi:10.1016/j.insmatheco.2005.06.009

has been cited by the following article:

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

  AUTHORS: Hui Zhao, Ximin Rong, Weiqin Ma, Bo Gao

  KEYWORDS: Constant Elasticity of Variance Model; Stochastic Optimal Control; Hamilton-Jacobi-Bellman Equation; Portfolio Selection; Multiple Risky Assets; Stochastic Volatility

  JOURNAL NAME: Modern Economy, Vol.3 No.6, October 31, 2012

  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.