Pages that link to "Item:Q2252279"
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The following pages link to Optimal investment for an insurer with cointegrated assets: CRRA utility (Q2252279):
Displaying 16 items.
- Optimal switching for the pairs trading rule: a viscosity solutions approach (Q275316) (← links)
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (Q492113) (← links)
- Optimal investment for insurers with the extended CIR interest rate model (Q1722131) (← links)
- Model uncertainty on commodity portfolios, the role of convenience yield (Q2063057) (← links)
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105) (← links)
- Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model (Q2073576) (← links)
- Statistical arbitrage for multiple co-integrated stocks (Q2152592) (← links)
- Optimal pairs trading with dynamic mean-variance objective (Q2238762) (← links)
- Pairs trading with illiquidity and position limits (Q2244254) (← links)
- Mean-variance asset-liability management: cointegrated assets and insurance liability (Q2253397) (← links)
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework (Q2338463) (← links)
- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration (Q2374128) (← links)
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration (Q2513456) (← links)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
- Robust portfolios with commodities and stochastic interest rates (Q5014231) (← links)
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility (Q5234345) (← links)
