Portfolio Strategy for an Investor with Logarithm Utility and Stochastic Interest Rate under Constant Elasticity of Variance Model
This paper is aim at maximizing the expected utility of an investor’s terminal wealth; to achieve this, we study the optimal portfolio strategy for an investor with logarithm utility function under constant elasticity of variance (CEV) model in the presence of stochastic interest rate. A portfolio c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Nigerian Society of Physical Sciences
2020-08-01
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| Series: | Journal of Nigerian Society of Physical Sciences |
| Subjects: | |
| Online Access: | https://journal.nsps.org.ng/index.php/jnsps/article/view/86 |