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.