Optimal pair trading: consumption-investment problem
Mathematical Finance
2023-12-13 v1
Abstract
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.
Cite
@article{arxiv.2312.06842,
title = {Optimal pair trading: consumption-investment problem},
author = {Yuri Kabanov and Aleksei Kozhevnikov},
journal= {arXiv preprint arXiv:2312.06842},
year = {2023}
}
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