• East Asian mathematical journal
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• v.31 no.1
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• pp.91-101
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• 2015

An explicit expression of the optimal investment strategy corresponding to the HARA utility function under the constant elasticity of variance (CEV) model has been given by Jung and Kim [6]. In this paper we give an explicit expression of the optimal solution for the extended logarithmic utility function. And we prove an a.s. convergence of the HARA solutions to the extended logarithmic one.