Stochastic Differential Financial Portfolio Game Under CEV Model with CRRA Utility
This paper investigates a stochastic differential portfolio game between two competing investors with relative wealth preferences. The financial market consists of one risk-free asset and one risky asset, whose price dynamics follow the CEV model. We formulate this game as two utility maximization p...
محفوظ في:
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | Artigo |
| اللغة: | Inglês |
| منشور في: |
MDPI AG
2026-07-01
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| سلاسل: | Mathematics |
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.mdpi.com/2227-7390/14/13/2409 |
| الوسوم: |
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