Optimal investment for an insurer with cointegrated assets: CRRA utility

DOI10.1016/J.INSMATHECO.2012.11.004MaRDI QIDQ2252279zbMATH OpenOpenAlexFDO

Authors Mei Choi Chiu, Hoi Ying Wong

Publication date 16 July 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.11.004

zbMATH Keywords

cointegrationoptimal investmentpairs-tradingutility theory

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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Cited in

(19)

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• Model uncertainty on commodity portfolios, the role of convenience yield
• Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.
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• Statistical arbitrage for multiple co-integrated stocks
• Optimal pairs trading with dynamic mean-variance objective
• Pairs trading with illiquidity and position limits
• Mean-variance asset-liability management: cointegrated assets and insurance liability
• Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
• Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• Optimal switching for the pairs trading rule: a viscosity solutions approach
• Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
• Robust portfolios with commodities and stochastic interest rates
• Optimal investment and consumption under a continuous-time cointegration model with exponential utility
• The optimal strategy of the dynamic mean-variance problem for pairs trading with a common stochastic factor
• Evolutionary game dynamics of index insurance with refund or non-refund risk sharing mechanism
• Optimal investment problem in a renewal risk model with generalized Erlang distributed interarrival times

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