TY - JOUR
T1 - A Mean-Variance Problem in the Constant Elasticity of Variance (CEV) Model
AU - Hou , Yingli
AU - Liu , Guoxin
JO - Communications in Mathematical Research 
VL - 3
SP - 242
EP - 252
PY - 2021
DA - 2021/05
SN - 31
DO - http://doi.org/10.13447/j.1674-5647.2015.03.06
UR - https://global-sci.org/intro/article_detail/cmr/18926.html
KW - constant elasticity of variance model, mean-variance, optimal strategy.
AB - <p style="text-align: justify;">In this paper, we focus on a constant elasticity of variance (CEV) model
and want to find its optimal strategies for a mean-variance problem under two constrained controls: reinsurance/new business and investment (no-shorting). First, a
Lagrange multiplier is introduced to simplify the mean-variance problem and the
corresponding Hamilton-Jacobi-Bellman (HJB) equation is established. Via a power
transformation technique and variable change method, the optimal strategies with
the Lagrange multiplier are obtained. Final, based on the Lagrange duality theorem,
the optimal strategies and optimal value for the original problem (i.e., the efficient
strategies and efficient frontier) are derived explicitly.</p>