Optimal investment and consumption in a continuous-time co-integration model
Yang Shen and Tak Kuen Siu
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Shen, Yang ; Siu, Tak Kuen |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 28.2017, 4, p. 501-530
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| Subject: | investment-consumption | co-integration | Feynman-Kac formula | Riccati equation | Kointegration | Cointegration | Portfolio-Management | Portfolio selection | Investition | Investment | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpv034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011845245