This thesis investigates a special member of the GHN-GARCH class of asset price models that incorporates a constant elasticity of variance (CEV) structure, and examines its performance in maximizing expected utility (EUT) of terminal wealth under CRRA preferences. In asset price modeling in continuous-time literature, CEV models were developed as extensions to the geometric Brownian motion to account for the leverage effect, which describes the inverse relationship between returns and volatility [AFL13; Cox75]. [EF23a] distinguishes three different types of CEV models, depending on the relation of the market price of risk on the volatility. For all three of those, solutions to the EUT problem are known ([EF23a], [Gao09] and [Mur18]). As a fixed elasticity parameter is found to be inadequate in capturing evolving volatility dynamics [GHR96; Hag+02], extensions combine the CEV structure with stochastic volatility models, either by embedding it within a stochastic volatility framework or by allowing the elasticity parameter to be stochastic [Hag+02; Kim+14]. Solutions for such SEV-SV models are also known [EF23b]. On the other hand, the incorporation of CEV structures into discrete-time asset pricing models has not been systematically explored. The class of GHN-GARCH models introduced in [ELZ24] offers a flexible framework to introduce a model that is inspired by the continuous-time CEV models and guarantees closed-form approximately optimal solutions for the CRRA-EUT problem in discrete-time. The contributions of this thesis are as follows: 1. Aliterature review of CEVmodelsincontinuoustime, withafocusonexpectedutility maximization and the properties of these models. 2. The introduction of the CEV-HN-GARCH model and an analysis of its properties relevant to both the GARCH and CEV literature. 3. Anempirical estimation and analysis of optimal investment under power utility in comparison with benchmark models     «

This thesis investigates a special member of the GHN-GARCH class of asset price models that incorporates a constant elasticity of variance (CEV) structure, and examines its performance in maximizing expected utility (EUT) of terminal wealth under CRRA preferences. In asset price modeling in continuous-time literature, CEV models were developed as extensions to the geometric Brownian motion to account for the leverage effect, which describes the inverse relationship between returns and volatilit...     »