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stat.AP2018
Minimum reversion in multivariate time series
Torsten Kleinow, Michel Vellekoop
We propose a new multivariate time series model in which we assume that each component has a tendency to revert to the minimum of all components. Such a specification is useful to…
q-fin.PR2018
Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences
Marcellino Gaudenzi, Michel Vellekoop
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that opti…