Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Author:
Affiliation:
1. School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW 2522, Australia
Funder
ARC
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1570317
Reference34 articles.
1. Optimal hedging using cointegration
2. Common Stochastic Trends in a System of Exchange Rates
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4. Strategic asset allocation
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