An Analytical Strategy of the CEV Model for the Optimal Portfolio under Fixed Expenditure

摘要

The paper creates a constant elasticity of variance (CEV) model for the optimal portfolio investment under fixed expenditure,provides an analytic solution to the primal optimal problem by studying the Legendre transform and the dual problem,and obtains an optimal asset allocation strategy between a risky asset and a riskless asset.So the logarithm utility function of the total asset can reach the maximum.This method improves the result of Merton's model in the real market.