The aim of this paper is to maximize an investor’s terminal wealth which exhibits constant relative risk aversion (CRRA). Considering the fluctuating nature of the stock market price, it is imperative for investors to study and develop an effective investment plan that considers the volatility of the stock market price and the fluctuation in interest rate. To achieve this, the optimal investment plan for an investor with logarithm utility under constant elasticity of variance (CEV) model in the presence of stochastic interest rate is considered. Also, a portfolio with one risk free asset and two risky assets is considered where the risk free interest rate follows the Ornstein-Uhlenbeck (O-U) process and the two risky assets follow the CEV p...
Assume that we have an~investor who may invests in several risky assets called stocks and in one non...
This paper develops an extended constant elasticity of variance (E-CEV) model to overcome the shortc...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
Interest rate is an important macrofactor that affects asset prices in the financial market. As the ...
In this paper, the explicit solutions of the optimal investment plans of an investor with exponentia...
This paper studies the optimal investment problem for utility maximization with multiple risky asset...
A robust time-consistent optimal investment strategy selection problem under inflation influence is ...
This paper examines changes in the optimal proportions of investment capital placed in a safe asset ...
This work considered an investor’s portfolio where consumption, taxes, transaction costs and dividen...
AbstractWe consider a portfolio optimization problem under stochastic volatility as well as stochast...
In this paper, we study the optimal investment and proportional reinsurance strategy when an insuran...
We consider an investment and consumption problem under the constant elasticity of variance (CEV) mo...
This research work looked at how to optimally allocate the total wealth of a financial institution i...
This paper investigates the optimal portfolio choice problem for a large insurer with negative expon...
This paper is concerned with the problem of determining the optimal portfolio choice for an investor...
Assume that we have an~investor who may invests in several risky assets called stocks and in one non...
This paper develops an extended constant elasticity of variance (E-CEV) model to overcome the shortc...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
Interest rate is an important macrofactor that affects asset prices in the financial market. As the ...
In this paper, the explicit solutions of the optimal investment plans of an investor with exponentia...
This paper studies the optimal investment problem for utility maximization with multiple risky asset...
A robust time-consistent optimal investment strategy selection problem under inflation influence is ...
This paper examines changes in the optimal proportions of investment capital placed in a safe asset ...
This work considered an investor’s portfolio where consumption, taxes, transaction costs and dividen...
AbstractWe consider a portfolio optimization problem under stochastic volatility as well as stochast...
In this paper, we study the optimal investment and proportional reinsurance strategy when an insuran...
We consider an investment and consumption problem under the constant elasticity of variance (CEV) mo...
This research work looked at how to optimally allocate the total wealth of a financial institution i...
This paper investigates the optimal portfolio choice problem for a large insurer with negative expon...
This paper is concerned with the problem of determining the optimal portfolio choice for an investor...
Assume that we have an~investor who may invests in several risky assets called stocks and in one non...
This paper develops an extended constant elasticity of variance (E-CEV) model to overcome the shortc...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...