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Closed-form analytical solutions 1 Cointegration 1 Consumption theory 1 Estimation theory 1 Hamilton-Jacobi-Bellman (HJB) equation 1 Investition 1 Investment 1 Kointegration 1 Konsumtheorie 1 Optimal investment and consumption problem 1 Portfolio selection 1 Portfolio-Management 1 Private consumption 1 Privater Konsum 1 Risikoaversion 1 Risk aversion 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Verification theorem 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Ma, Guiyuan 1 Zhu, Song-Ping 1
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Quantitative finance 1
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Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Ma, Guiyuan; Zhu, Song-Ping - In: Quantitative finance 19 (2019) 7, pp. 1135-1149
Persistent link: https://www.econbiz.de/10012194749
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