Optimal investment and consumption in a continuous-time co-integration model

DOI10.1093/IMAMAN/DPV034OpenAlexW2577042924MaRDI QIDQ5046611

Yang Shen, Tak Kuen Siu

Publication date: 9 November 2022

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpv034

zbMATH Keywords

Riccati equationFeynman-Kac formulaco-integrationinvestment-consumption

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ Optimal investment and consumption under a continuous-time cointegration model with exponential utility

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