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A Mean-variance Problem in the Constant Elasticity of Variance(CEV) Model

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【作者】 Hou Ying-liLiu Guo-xinJiang Chun-lan

【Author】 Hou Ying-li;Liu Guo-xin;Jiang Chun-lan;College of Mathematics and Information Science, Hebei Normal University;School of Science, Hebei University of Technology;Department of Mathematics and Physics, Shijiazhuang Tiedao University;

【机构】 College of Mathematics and Information Science, Hebei Normal UniversitySchool of Science, Hebei University of TechnologyDepartment of Mathematics and Physics, Shijiazhuang Tiedao University

【摘要】 In this paper, we focus on a constant elasticity of variance(CEV) model and want to find its optimal strategies for a mean-variance problem under two constrained controls: reinsurance/new business and investment(no-shorting). First, a Lagrange multiplier is introduced to simplify the mean-variance problem and the corresponding Hamilton-Jacobi-Bellman(HJB) equation is established. Via a power transformation technique and variable change method, the optimal strategies with the Lagrange multiplier are obtained. Final, based on the Lagrange duality theorem,the optimal strategies and optimal value for the original problem(i.e., the efficient strategies and efficient frontier) are derived explicitly.

【基金】 The NSF(11201111) of China;Hebei Province Colleges and Universities Science,and Technology Research Project(ZD20131017)
  • 【DOI】10.13447/j.1674-5647.2015.03.06
  • 【分类号】O211
  • 【下载频次】25
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