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Optimal investment strategies for the HARA utility under the constant elasticity of variance model

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References

2003Stochastic Differential Equations2,978 cited
1998Arbitrage Theory in Continuous Time1,267 cited
2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts127 cited
2010Constant elasticity of variance model for proportional reinsurance and investment strategies115 cited
2003Stochastic optimal control of annuity contracts113 cited
2009Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model83 cited
2002Optimal investment problems and volatility homogenization approximations60 cited

Cited by

2018The optimization ordering model for intuitionistic fuzzy preference relations with utility functions55 cited
2014Mean–variance portfolio selection under a constant elasticity of variance model44 cited
2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform29 cited

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