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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 25 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
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Pairs trading under transaction costs using model predictive control
Primbs, James A.; Yamada, Yuji - In: Quantitative finance 18 (2018) 6, pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
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A moment computation algorithm for the error in discrete dynamic hedging
Primbs, James A.; Yamada, Yuji - In: Journal of Banking & Finance 30 (2006) 2, pp. 519-540
Persistent link: https://www.econbiz.de/10005194807