Optimal investment for an insurer with cointegrated assets: CRRA utility (Q2252279)
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scientific article; zbMATH DE number 6317661
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal investment for an insurer with cointegrated assets: CRRA utility |
scientific article; zbMATH DE number 6317661 |
Statements
Optimal investment for an insurer with cointegrated assets: CRRA utility (English)
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16 July 2014
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optimal investment
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cointegration
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pairs-trading
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utility theory
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0.8063563108444214
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0.8024395704269409
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0.7980313301086426
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0.7974084615707397
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0.7923763990402222
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