Pages that link to "Item:Q5312729"
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The following pages link to A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (Q5312729):
Displaying 24 items.
- A note on the integrability of the classical portfolio selection model (Q988735) (← links)
- Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices (Q1712624) (← links)
- Dynamic pairs trading using the stochastic control approach (Q1994134) (← links)
- Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
- The Lie symmetry approach on (1+2)-dimensional financial models (Q2062223) (← links)
- Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (Q2097469) (← links)
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
- Symmetry-based solution of a model for a combination of a risky investment and a riskless investment (Q2371853) (← links)
- A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters (Q2795443) (← links)
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model (Q2977927) (← links)
- A Feedback Model for the Financialization of Commodity Markets (Q3195109) (← links)
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES (Q3393970) (← links)
- Model-based pairs trading in the bitcoin markets (Q4555101) (← links)
- LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL (Q4563727) (← links)
- Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting (Q4585677) (← links)
- Pairs trading under delayed cointegration (Q5039626) (← links)
- Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network (Q5139230) (← links)
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity (Q5151534) (← links)
- OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK (Q5157844) (← links)
- High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control (Q5207795) (← links)
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility (Q5234345) (← links)
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (Q5256839) (← links)
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics (Q6152696) (← links)
- Optimal pairs trading of mean-reverting processes over multiple assets (Q6164088) (← links)
