Optimal investment strategies for the HARA utility under the constant elasticity of variance model
Year of publication: |
2012
|
---|---|
Authors: | Jung, Eun Ju ; Kim, Jai Heui |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 3, p. 667-673
|
Publisher: |
Elsevier |
Subject: | Stochastic optimal control | Constant elasticity of variance model | HARA utility function | HJB equation | Legendre transform |
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