A diversification framework for multiple pairs trading strategies
Year of publication: |
2023
|
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Authors: | Lee, Kiseop ; Leung, Tim ; Ning, Boming |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 5, Art.-No. 93, p. 1-18
|
Subject: | pairs trading | Ornstein-Uhlenbeck process | diversification | portfolio allocation | meanreversion budgeting | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitalanlage | Financial investment | Diversifikation | Diversification | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance |
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