Autor:	Kabanov, Yuri, Kozhevnikov, Aleksei
Rok vydání:	2023
Předmět:	Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2312.06842 Zobrazit plný text záznamu View this record from Arxiv