arXiv Open Access 2023

Optimal pair trading: consumption-investment problem

Yuri Kabanov Aleksei Kozhevnikov

Lihat Sumber

Abstrak

We expose a simple solution of the consumption-investment problem pair trading. The proof is based on the remark that the HJB equation can be reduced to a linear parabolic equation solvable explicitly.

Topik & Kata Kunci

q-fin.MF

Penulis (2)

Yuri Kabanov

Aleksei Kozhevnikov

Format Sitasi

APA MLA BibTeX

Kabanov, Y., Kozhevnikov, A. (2023). Optimal pair trading: consumption-investment problem. https://arxiv.org/abs/2312.06842

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2023
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓