Robust Portfolio Choice under the Modified Constant Elasticity of Variance

Robust Portfolio Choice under the Modified Constant Elasticity of Variance

This study investigates ambiguity aversion within the framework of a utility-maximizing investor under a modified constant-elasticity-of-volatility (M-CEV) model for the underlying asset. We derive closed-form solutions of a non-affine type for the optimal allocation and value function via a Cauchy...

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Bibliographic Details
Main Authors: Wei Li Fan, Marcos Escobar Anel
Format: Article
Language:English
Published: MDPI AG 2024-01-01
Series:Mathematics
Subjects:
M-CEV model
expected utility
HARA
ambiguity-aversion
Cauchy problem
Online Access:https://www.mdpi.com/2227-7390/12/3/440

Internet

https://www.mdpi.com/2227-7390/12/3/440

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