Back to Search Start Over

Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model

Authors :
Xueyan Li
Hao Chang
Xingjiang Chen
Source :
Communications in Statistics - Theory and Methods. 51:8799-8821
Publication Year :
2021
Publisher :
Informa UK Limited, 2021.

Abstract

This paper studies the optimal investment-consumption decision under the constant elasticity of variance (CEV) model for an individual seeking to maximize the expected utility from cumulative consu...

Details

ISSN :
1532415X and 03610926
Volume :
51
Database :
OpenAIRE
Journal :
Communications in Statistics - Theory and Methods
Accession number :
edsair.doi...........5239b422818745f543f3589aabb74d1c