Pairs trading under drift uncertainty and risk penalization
Year of publication: |
November 2018
|
---|---|
Authors: | Altay, Sühan ; Colaneri, Katia ; Eksi-Altay, Zehra |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 7, p. 1-24
|
Subject: | Pairs trading | regime-switching | partial information | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection |
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