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Optimal pair trading: Consumption-investment problem with finite and infinite horizonстатья
- Авторы: Kabanov Yuri, Kozhevnikov Aleksei
- Журнал: STATISTICS & RISK MODELING
- Том: 41
- Номер: 3-4
- Год издания: 2024
- DOI: 10.1515/strm-2024-0027
- Аннотация: We present a simple solution of the consumption-investment problem pair trading on a finite time horizon. The proof is based on the remark that the HJB equation can be reduced to a linear parabolic equation solvable explicitly. As a further development we obtain also a solution of the problem for the infinite time horizon.
- Добавил в систему: Кабанов Юрий Михайлович