Optimal investment and consumption under a continuous-time cointegration model with exponential utility
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Publication:5234345
DOI10.1080/14697688.2019.1570317zbMath1420.91427OpenAlexW2912416958WikidataQ115549912 ScholiaQ115549912MaRDI QIDQ5234345
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=3710&context=eispapers1
cointegrationverification theoremHamilton-Jacobi-Bellman (HJB) equationclosed-form analytical solutionsoptimal investment and consumption problem
Related Items (12)
Pairs trading under delayed cointegration ⋮ Continuous time mean–variance–utility portfolio problem and its equilibrium strategy ⋮ Statistical arbitrage for multiple co-integrated stocks ⋮ Robust control in a rough environment ⋮ Continuous-time portfolio optimization for absolute return funds ⋮ Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network ⋮ Dynamic portfolio choice with return predictability and transaction costs ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ Robust portfolio optimization with multi-factor stochastic volatility ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH
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