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Optimal Portfolio Management in a Modified Constant Elasticity of Variance Model.
- Source :
-
Computational Mathematics & Modeling . Jan2018, Vol. 29 Issue 1, p110-119. 10p. - Publication Year :
- 2018
-
Abstract
- We investigate the optimal management of a portfolio consisting of a risk asset and a risk-free bond. The asset dynamics is specified by the M-CEV model. Assuming that the investor has a power utility function, we derive an explicit analytical portfolio-management formula that contains confluent hypergeometric functions. The asymptotic form of the proposed portfolio management strategy is obtained, as well as approximate formulas consisting only of elementary functions. We additionally present an application of our results in the context of algorithmic statistical-arbitrage strategies. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 1046283X
- Volume :
- 29
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Computational Mathematics & Modeling
- Publication Type :
- Academic Journal
- Accession number :
- 127331703
- Full Text :
- https://doi.org/10.1007/s10598-018-9393-6