A new type of CEV model: properties, comparison, and application to portfolio optimization
Sign Up to like & getrecommendations! Published in 2024 at "Stochastic Models"
DOI: 10.1080/15326349.2024.2327435
Abstract: Abstract This article proposes and studies a new type of constant elasticity of volatility (CEV) model, titled LVO-CEV, where the name indicates that the excess return is linear in the volatility. The model has either… read more here.
Keywords: type cev; portfolio; new type; cev model ... See more keywords
Leverage Effect and Stochastic Volatility in the Agricultural Commodity Market under the CEV Model
Sign Up to like & getrecommendations! Published in 2017 at "Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis"
DOI: 10.11118/actaun201765051671
Abstract: The problem of price fluctuation is crucial to the concept of financial engineering nowadays. The aim of this paper is twofold; first to investigate the leverage effect of the main agricultural commodities – wheat and… read more here.
Keywords: stochastic volatility; volatility; market; cev model ... See more keywords
A Reinsurance and Investment Game between Two Insurers under the CEV Model
Sign Up to like & getrecommendations! Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/4696941
Abstract: In this paper, the problem of nonzero-sum stochastic differential game between two competing insurance companies is considered, i.e., the relative performance concerns. A certain proportion of reinsurance can be taken out by each insurer to… read more here.
Keywords: game two; cev model; reinsurance investment;