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Optimal mean reversion trading with transaction costs and stop-loss exit
Leung, Tim; Li, Xin - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403754
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From rages to riches : on constant proportions investment strategies
Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 563-573
Persistent link: https://www.econbiz.de/10001743182
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Optimal dynamic futures portfolio under a multifactor Gaussian framework
Leung, Tim; Yan, Raphael; Zhou, Yang - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10012662043
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Mean reversion trading with sequential deadlines and transaction costs
Kitapbayev, Yerkin; Leung, Tim - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011846482