A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model

By Fred Espen Benth, Kenneth Hvistendahl Karlsen. 2005

55 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c4986e481497011a370e3088fb5f9b416da730d3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. A. Tourin
2. P. Lintilhac
3. Andrew Urquhart
4. Emmanouil Platanakis

In Management Science and Operations Research

1. A. Tourin
2. P. Lintilhac

Citations in the corpus

• Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, unknown): “For example, Benth and Karlsen (2005) study the utility maximization problem that involves dynamically trading an exponential OU underlying asset.”
• Model-based pairs trading in the bitcoin markets (2017, methodology): “…4.3 in Benth and Karlsen (2005): The first expectation is majorized by CE [ exp { 4(1 + ) max s∈[t,T ] || 0(s)|| ∫ T t yts ysds }] , (25) We use the fact that yts ys = ∑r i=1 y2is is a centred chi-squared distribution with r degrees of freedom to conclude similarly as in Benth and Karlsen (2005).”
• Dynamic Pairs Trading Using the Stochastic Control Approach (2013, unknown): “Since the proof of Theorem 2 uses exactly the same arguments as in [1], we do not present it here.”