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Journal of Shanghai University（Natural Science Edition）

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Optimal Portfolio Choice with Fixed Consumption under CEV Model

PENG Wang-xiang,QIN Cheng-lin   

  1. School of Sciences, Shanghai University, Shanghai 200444, China
  • Received:2005-06-30 Revised:1900-01-01 Online:1900-01-01 Published:1900-01-01
  • Contact: QIN Cheng-lin

Abstract:

The method of stochastic control, Bellman equation and the maximum rules are used to settle down the problem of optimal portfolio choice with fixed consumption. A cyclic solution to the equation is obtained. The conclusion is economically meaningful for private investors, management of pension fund, and insurance companies in portfolio choice.

Key words: CEV model, fixed consumption, Lagendre change

, terminal wealth utility,

stochastic control