Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings : a viscosity solution approach
Kiyoshi Suzuki
| Year of publication: |
2021
|
|---|---|
| Authors: | Suzuki, Kiyoshi |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 46.2021, 1, p. 336-360
|
| Subject: | optimal multiple switching problem | viscosity solution approach | pair-trading strategy | quadratic risk aversion function | optimal switching regions | simultaneous multiple switching | Theorie | Theory | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2020.1059 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012498193