East Asian mathematical journal

  • 제31권1호
  • /
  • Pages.91-101
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  • 2015
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  • 1226-6973(pISSN)
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  • 2287-2833(eISSN)
영남수학회 (The Youngnam Mathematical Society)
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A CONVERGENCE OF OPTIMAL INVESTMENT STRATEGIES FOR THE HARA UTILITY FUNCTIONS

  • 투고 : 2014.12.04
  • 심사 : 2014.12.26
  • 발행 : 2015.01.31
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초록

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

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  3. J. Gao, Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model, Insuance Math. Econom. 45 (2009), 9-18. https://doi.org/10.1016/j.insmatheco.2009.02.006
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  6. E.J. Jung and J.H. Kim, Optimal investment strategies for the HARA utility under the constant elasticity of variance model, Insuance Math. Econom. 51 (2012), 667-673. https://doi.org/10.1016/j.insmatheco.2012.09.009
  7. B. Oksendal, Stochastic Differential Equations, Springer-Verlag Berlin Heidelberg (1998).
  8. J. Xiao, Z. Hong and C Qin, The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts, Insuance Math. Econom. 40 (2007), 302-310. https://doi.org/10.1016/j.insmatheco.2006.04.007