Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

• DOI: 10.1155/2014/363046
• Publication Date: 2014-07-08T18:10:00Z
• Authors: Hui-qiang Ma
• Keywords: Efficient frontier; Elasticity

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