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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2015.1
- 수록면
- 91 - 101 (11page)
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An explicit expression of the optimal investment strategy corresponding to the HARA utility function under the constant elasticity of variance (CEV) model has been given by Jung and Kim [6]. In this paper we give an explicit expression of the optimal solution for the extended logarithmic utility function. And we prove an a.s. convergence of the HARA solutions to the extended logarithmic one.
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참고문헌 (8)
참고문헌 신청
B. Oksendal / 1998 / Stochastic Differential Equations / Springer-Verlag Berlin Heidelberg
E.J. Jung / 2012 / Optimal investment strategies for the HARA utility under the constant elasticity of variance model / Insuance Math. Econom 51 : 667 ~ 673
J. Gao / 2009 / Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model / Insuance Math. Econom 45 : 9 ~ 18
J. Xiao / 2007 / The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts / Insuance Math. Econom 40 : 302 ~ 310
M. Gu / 2010 / Constant elasticity of variance model for pro-portional reinsurance and investment strategies / Insuance Math. Econom 46 : 580 ~ 587
E.J. Jung / 2012 / Optimal investment strategies for the HARA utility under the constant elasticity of variance model / Insuance Math. Econom 51 : 667 ~ 673
J. Gao / 2009 / Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model / Insuance Math. Econom 45 : 9 ~ 18
J. Xiao / 2007 / The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts / Insuance Math. Econom 40 : 302 ~ 310
M. Gu / 2010 / Constant elasticity of variance model for pro-portional reinsurance and investment strategies / Insuance Math. Econom 46 : 580 ~ 587
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