An Analytical Strategy of the CEV Model for the Optimal Portfolio under Fixed Expenditure

摘要：

The paper creates a constant elasticity of variance (CEV) model for the optimal portfolio investment under fixed expenditure,provides an analytic solution to the primal optimal problem by studying the Legendre transform and the dual problem,and obtains an optimal asset allocation strategy between a risky asset and a riskless asset.So the logarithm utility function of the total asset can reach the maximum.This method improves the result of Mertons model in the real market.

关键词： fixed expenditure the optimal portfolio investment CEV model analytical strategy

作者: Jianwu Xiao Shaohua Yin Desheng Deng

作者单位: Business School ,Central South University of Forestry & Technology ,Hunan Changsha 410004,PR China. Business School ,Central South University of Forestry &Technology ,Hunan Changsha 410004,PR China.

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 642-647

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）