Optimal pairs trading with dynamic mean-variance objective
Year of publication: |
2021
|
---|---|
Authors: | Zhu, Dong-Mei ; Gu, Jia-Wen ; Yu, Feng-Hui ; Siu, Tak Kuen ; Ching, Wai Ki |
Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 94.2021, 1, p. 145-168
|
Subject: | Dynamic mean-variance (MV) | Ornstein-Uhlenbeck (OU) | Pairs trading | Time inconsistency | Theorie | Theory | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency | Hedging |
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