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Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
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  • 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
  • 2001Pricing and Hedging Path-Dependent Options Under the CEV Process343 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process

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295 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited
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