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Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
- Source :
- Communications in Statistics - Theory and Methods. 51:8799-8821
- Publication Year :
- 2021
- Publisher :
- Informa UK Limited, 2021.
-
Abstract
- This paper studies the optimal investment-consumption decision under the constant elasticity of variance (CEV) model for an individual seeking to maximize the expected utility from cumulative consu...
- Subjects :
- Statistics and Probability
Consumption (economics)
021103 operations research
0211 other engineering and technologies
Elasticity (data store)
02 engineering and technology
Variance (accounting)
01 natural sciences
Hyperbolic absolute risk aversion
010104 statistics & probability
Constant elasticity of variance model
Econometrics
0101 mathematics
Constant (mathematics)
Preference (economics)
Expected utility hypothesis
Mathematics
Subjects
Details
- ISSN :
- 1532415X and 03610926
- Volume :
- 51
- Database :
- OpenAIRE
- Journal :
- Communications in Statistics - Theory and Methods
- Accession number :
- edsair.doi...........5239b422818745f543f3589aabb74d1c
- Full Text :
- https://doi.org/10.1080/03610926.2021.1907411