arXiv subjects

Sahar Albosaily

Publications and source records attributed to Sahar Albosaily.

2 recordsLinked to original sources

arXiv2018

Optimal investment and consumption for pairs trading financial markets on small time interval

In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for power utility functions for investment/consumption problem. Through the Feynman-Kac (FK) method, we study the Hamilton-Jacobi-Bellman (HJB) equation for this problem. Moreover, the existence and uniqueness has been shown for classical solution for the HJB equation. In addition, the numeric approximation for the solution of the HJB equation has been studied and the convergence rate has been established and it is been found that the convergence rate is extremely explosive.

math.PR↗

arXiv2018

Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility

We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions in the base of stochastic dynamical programming method. We show a special Verification Theorem for this case. We find the solution to the Hamilton--Jacobi--Bellman (HJB) equation in explicit form and as a consequence we construct the optimal financial strategies. Moreover, we study the constructed strategy by numerical simulations.

q-fin.PM↗