%0 Journal Article
%T An Extension of Some Results Due to Cox and Leland
%A Andrew P. Leung
%A Wen Shi
%J Journal of Mathematical Finance
%P 416-425
%@ 2162-2442
%D 2013
%I Scientific Research Publishing
%R 10.4236/jmf.2013.34043
%X <p align=\"justify\">
	<span style=\"font-family:Verdana;\">We investigate an optimal portfolio allocation problem between a risky and a risk-free asset, as in [</span><span style=\"font-family:Verdana;\">1</span><span style=\"font-family:Verdana;\">]. They obtained explicit conditions for path-independence and optimality of allocation strategies when the price of the risky asset follows a geometric Brownian motion with constant asset characteristics. This paper analyzes and extends their results for dynamic investment strategies by allowing for non-constant returns and volatility. We adopt a continuous-time approach and appeal to well established results in stochastic calculus for doing so.</span> 
</p>
<p>
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</p>
%K Path Independence
%K Dynamic Asset Allocation
%K Dynamic Optimization
%K Calculus of Variations
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=38143