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Quantitative Finance Volume 19, 2019 - Issue 7
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Research Papers

Optimal investment and consumption under a continuous-time cointegration model with exponential utility

Guiyuan MaSchool of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW2522, AustraliaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-0257-9680View further author information
ORCID Icon &
Song-Ping ZhuSchool of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW2522, AustraliaORCID Iconhttps://orcid.org/0000-0002-2863-0640View further author information
ORCID Icon
Pages 1135-1149 | Received 09 Jul 2018, Accepted 09 Jan 2019, Published online: 14 Feb 2019

Citations (20)

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Read on this site (5)

Ben-Zhang Yang, Xin-Jiang He & Song-Ping Zhu. (2022) Continuous time mean–variance–utility portfolio problem and its equilibrium strategy. Optimization 71:14, pages 4213-4241.
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Tingjin Yan, Mei Choi Chiu & Hoi Ying Wong. (2022) Pairs trading under delayed cointegration. Quantitative Finance 22:9, pages 1627-1648.
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Bingyan Han & Hoi Ying Wong. (2022) Robust control in a rough environment. Quantitative Finance 22:3, pages 481-500.
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Ning Wang, Zhuo Jin, Tak Kuen Siu & Ming Qiu. (2021) Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Scandinavian Actuarial Journal 2021:10, pages 832-865.
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John M. Mulvey, Yifan Sun, Mengdi Wang & Jing Ye. (2020) Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network. Quantitative Finance 20:8, pages 1239-1261.
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Articles from other publishers (15)

Masashi Ieda. (2022) Continuous-Time Portfolio Optimization for Absolute Return Funds. Asia-Pacific Financial Markets 29:4, pages 675-696.
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Thomas Nanfeng Li & Andrew Papanicolaou. (2022) Statistical Arbitrage for Multiple Co-integrated Stocks. Applied Mathematics & Optimization 86:1.
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GUIYUAN MA, SONG-PING ZHU & IVAN GUO. (2022) VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH. International Journal of Theoretical and Applied Finance 25:04n05.
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Guiyuan Ma & Song-Ping Zhu. (2021) Revisiting the Merton Problem: from HARA to CARA Utility. Computational Economics 59:2, pages 651-686.
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Peng Li. (2020) The Valuation of Weather Derivatives Using One Sided Crank–Nicolson Schemes. Computational Economics 58:3, pages 825-847.
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Shuang Liang, Siyuan Lu, Jun Lin & Zhongfeng Wang. (2021) Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading. IEEE Transactions on Circuits and Systems I: Regular Papers 68:7, pages 2911-2924.
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Shuang Liang, Siyuan Lu, Jun Lin & Zhongfeng Wang. (2020) Hardware Accelerator for Engle-Granger Cointegration in Pairs Trading. Hardware Accelerator for Engle-Granger Cointegration in Pairs Trading.
Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma & Song-Ping Zhu. (2020) Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. Journal of Optimization Theory and Applications 186:1, pages 264-298.
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Guiyuan Ma, Chi Chung Siu & Song-Ping Zhu. (2020) Optimal investment and consumption with return predictability and execution costs. Economic Modelling 88, pages 408-419.
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Guiyuan Ma, Song-Ping Zhu & Boda Kang. (2019) A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions. Computational Economics 55:3, pages 957-981.
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Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu & Robert J. Elliott. (2020) Optimal portfolio execution problem with stochastic price impact. Automatica 112, pages 108739.
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Guiyuan Ma, Chi Chung Siu & Song-Ping Zhu. (2019) Dynamic portfolio choice with return predictability and transaction costs. European Journal of Operational Research 278:3, pages 976-988.
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Chengyi Tu, Ying Fan & Jianing Fan. (2019) Universal Cointegration and Its Applications. iScience 19, pages 986-995.
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Guiyuan Ma, Chi Chung Siu & Song-Ping Zhu. (2018) Optimal Investment and Consumption with Return Predictability and Execution Costs. SSRN Electronic Journal.
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Kexin Chen, Mei Choi Chiu & Hoi Ying Wong. (2018) Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration. SSRN Electronic Journal.
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