Optimal investment and consumption under a continuous-time cointegration model with exponential utility (Q5234345)
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scientific article; zbMATH DE number 7110469
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and consumption under a continuous-time cointegration model with exponential utility |
scientific article; zbMATH DE number 7110469 |
Statements
Optimal investment and consumption under a continuous-time cointegration model with exponential utility (English)
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26 September 2019
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cointegration
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Hamilton-Jacobi-Bellman (HJB) equation
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optimal investment and consumption problem
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closed-form analytical solutions
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verification theorem
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