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Optimal investment for an insurer with cointegrated assets: CRRA utility - MaRDI portal

Optimal investment for an insurer with cointegrated assets: CRRA utility (Q2252279)

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scientific article
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Optimal investment for an insurer with cointegrated assets: CRRA utility
scientific article

    Statements

    title
    Optimal investment for an insurer with cointegrated assets: CRRA utility (English)
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    author
    Mei Choi Chiu
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    Hoi Ying Wong
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    publication date
    16 July 2014
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    zbMATH Keywords
    optimal investment
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    cointegration
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    pairs-trading
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    utility theory
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91B16
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    91G10
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    zbMATH DE Number
    6317661
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    OpenAlex ID
    W2030772909
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