[1]
|
R. C. Merton, “Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case,” The Review of Economics and Statistics, Vol. 51, No. 3, 1969, pp. 247-257.
doi:10.2307/1926560
|
[2]
|
R. C. Merton, “Optimum Consumption and Portfolio Rules in a Continuous-Time Model,” Journal of economic theory, Vol. 3, No. 4, 1971, pp. 373-413.
doi:10.1016/0022-0531(71)90038-X
|
[3]
|
S. Browne, “Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin,” Mathematics of Operations Research, Vol. 20, No. 4, 1995, pp. 937-958.
doi:10.1287/moor.20.4.937
|
[4]
|
H. Yang and L. Zhang, “Optimal Investment for Insurer with Jump-Diffusion Risk Process,” Insurance: Mathematics and Economics, Vol. 37, No. 3, 2005, pp. 615-634.
doi:10.1016/j.insmatheco.2005.06.009
|
[5]
|
S. Pliska, “A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios,” Mathematics of Operations Research, Vol. 11, No. 2, 1986, pp. 371-382.
doi:10.1287/moor.11.2.371
|
[6]
|
I. Karatzas, J. P. Lehoczky and S. E. Shreve, “Optimal Portfolio and Consumption Decisions for a ‘Small Investor’ on a Finite Horizon,” SIAM Journal on Control and Optimization, Vol. 25, No. 6, 1987, pp. 1557-1586.
doi:10.1137/0325086
|
[7]
|
J. C. Cox and C. F. Huang, “Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process,” Journal of Economic Theory, Vol. 49, No. 1, 1989, pp. 33-83. doi:10.1016/0022-0531(89)90067-7
|
[8]
|
I. Karatzas, “Optimization Problems in the Theory of Continuous Trading,” SIAM Journal on Control and Optimization, Vol. 27, No. 6, 1989, pp. 1221-1259.
doi:10.1137/0327063
|
[9]
|
I. Karatzas and S. E. Shreve, “Brownian Motion and Stochastic Calculus,” Springer Verlag, New York, 1991.
doi:10.1007/978-1-4612-0949-2
|
[10]
|
I. Karatzas, J. P. Lehoczky, S. E. Shreve and G. L. Xu, “Martingale and Duality Methods for Utility Maximization in an Incomplete Market,” SIAM Journal on Control and Optimization, Vol. 29, No. 3, 1991, pp. 702-730.
doi:10.1137/0329039
|
[11]
|
A. Zhang, “A Secret to Create a Complete Market from an Incomplete Market,” Applied Mathematics and Computation, Vol. 191, No. 1, 2007, pp. 253-262.
doi:10.1016/j.amc.2007.02.086
|
[12]
|
Z. Wang, J. Xia and L. Zhang, “Optimal Investment for an Insurer: The Martingale Approach,” Insurance: Mathematics and Economics, Vol. 40, No. 2, 2007, pp. 322-334.
doi:10.1016/j.insmatheco.2006.05.003
|
[13]
|
Q. Zhou, “Optimal Investment for an Insurer in the Lévy Market: The Martingale Approach,” Statistics & Probability Letters, Vol. 79, No. 14, 2009, pp. 1602-1607.
doi:10.1016/j.spl.2009.03.027
|
[14]
|
D. G. Hobson and L. C. G. Rogers, “Complete Models with Stochastic Volatility,” Mathematical Finance, Vol. 8, No. 1, 1998, pp. 27-48. doi:10.1111/1467-9965.00043
|
[15]
|
J. C. Cox and S. A. Ross, “The Valuation of Options for Alternative Stochastic Processes,” Journal of Financial Economics, Vol. 3, No. 1-2, 1976, pp. 145-166.
doi:10.1016/0304-405X(76)90023-4
|
[16]
|
J. C. Cox, “The Constant Elasticity of Variance Option Pricing Model,” The Journal of Portfolio Management, Vol. 22, 1996, pp. 15-17.
|
[17]
|
C. F. Lo, P. H. Yuen and C. H. Hui, “Constant Elasticity of Variance Option Pricing Model with Time-Dependent Parameters,” International Journal of Theoretical and Applied Finance, Vol. 3, No. 4, 2000, pp. 661-674.
doi:10.1142/S0219024900000814
|
[18]
|
D. Davydov and V. Linetsky, “Pricing and Hedging Path- Dependent Options under the CEV Process,” Management Science, Vol. 47, No. 7, 2001, pp. 949-965.
doi:10.1287/mnsc.47.7.949.9804
|
[19]
|
Y. L. Hsu, T. I. Lin and C. F. Lee, “Constant Elasticity of Variance (CEV) Option Pricing Model: Integration and Detailed Derivation,” Mathematics and Computers in Simulation, Vol. 79, No. 1, 2008, pp. 60-71.
doi:10.1016/j.matcom.2007.09.012
|
[20]
|
J. Xiao, H. Zhai and C. Qin, “The Constant Elasticity of Variance (CEV) Model and the Legendre Transform-dual Solution for Annuity Contracts,” Insurance: Mathematics and Economics, Vol. 40, No. 2, 2007, 302-310.
doi:10.1016/j.insmatheco.2006.04.007
|
[21]
|
J. Gao, “Optimal Portfolios for DC Pension Plans under a CEV Model,” Insurance: Mathematics and Economics, Vol. 44, No. 3, 2009, 479-490.
doi:10.1016/j.insmatheco.2009.01.005
|
[22]
|
J. Gao, “Optimal Investment Strategy for Annuity Contracts under the Constant Elasticity of Variance (CEV) Model,” Insurance: Mathematics and Economics, Vol. 45, No. 1, 2009, 9-18. doi:10.1016/j.insmatheco.2009.02.006
|
[23]
|
M. Gu, Y. Yang, S. Li and J. Zhang, “Constant Elasticity of Variance Model for Proportional Reinsurance and Investment Strategies,” Insurance: Mathematics and Economics, Vol. 46, No. 3, 2010, 580-587.
doi:10.1016/j.insmatheco.2010.03.001
|
[24]
|
H. Zhao and X. Rong, “Portfolio Selection Problem with Multiple Risky Assets under the Constant Elasticity of Variance Model,” Insurance: Mathematics and Economics, Vol. 50, No. 1, 2012, 179-190.
doi:10.1016/j.insmatheco.2011.10.013
|