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Optimal investment and consumption in a continuous-time co-integration model
Yang Shen
*
,
Tak Kuen Siu
*
Corresponding author for this work
Department of Actuarial Studies and Business Analytics
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Business & Economics
Cointegration
100%
Continuous Time
57%
Discounted Utility
27%
Dynamic Programming
18%
Hamilton-Jacobi-Bellman Equation
24%
Investors
22%
Optimal Consumption
71%
Optimal Investment
62%
Power Utility
24%
Time Horizon
18%
Value Function
20%
Wealth
14%
Mathematics
Closed-form
15%
Cointegration
79%
Continuous Time
49%
Dynamic Programming Principle
26%
Expected Utility
25%
Hamilton-Jacobi-Bellman Equation
22%
Horizon
20%
Logarithmic
15%
Maximise
17%
Model
18%
Numerical Examples
11%
Optimal Investment
84%
Strategy
13%
Value Function
18%
Engineering & Materials Science
Dynamic programming
27%