We derive a closed-form solution to a continuous-time optimal portfolio selection problem
with return predictability and transaction costs. Specifically, we assume that asset returns are …

Continuous-time pairs trading rules are often developed based on the diffusion limit of the
first-order vector autoregressive (VAR (1)) cointegration models. Empirical identification of …

In this paper, we aim to study optimal decisions on consumption, investment and purchasing
life insurance of a household with two consecutive generations, say parents and children. A …

In this paper, we provide a closed-form solution to an optimal portfolio execution problem
with stochastic price impact and stochastic net demand pressure. Specifically, each trade of …

This paper studies a robust portfolio optimization problem under a multi-factor volatility
model. We derive optimal strategies analytically under the worst-case scenario with or …

Optimizing a portfolio of mean-reverting assets under transaction costs and a finite horizon is
severely constrained by the curse of high dimensionality. To overcome the exponential …

This paper studies an optimal investment–consumption problem for competitive agents with
exponential or power utilities and a common finite time horizon. Each agent regards the …

While cointegration models with constant parameters generate statistical arbitrage, the
cointegration feature may change and even disappear due to regime shifts. This paper …

We provide a closed-form solution to an optimal investment and consumption problem for a
constant absolute risk aversion (CARA) agent, who faces execution costs when trading …

Pairs trading is a solidly profitable strategy in the algorithmic trading area, and an important
step of this strategy is selecting pairs of stocks. Compared with other existing pairs selection …