Open Access
Translator Disclaimer
2014 Continuous-Time Mean-Variance Portfolio Selection under the CEV Process
Hui-qiang Ma
Abstr. Appl. Anal. 2014(SI69): 1-14 (2014). DOI: 10.1155/2014/363046


We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.


Download Citation

Hui-qiang Ma. "Continuous-Time Mean-Variance Portfolio Selection under the CEV Process." Abstr. Appl. Anal. 2014 (SI69) 1 - 14, 2014.


Published: 2014
First available in Project Euclid: 6 October 2014

zbMATH: 07022228
MathSciNet: MR3232835
Digital Object Identifier: 10.1155/2014/363046

Rights: Copyright © 2014 Hindawi


Vol.2014 • No. SI69 • 2014
Back to Top