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Optimal trading with cointegrated pairs of stocks
Yamada, Yuji; Primbs, James A. - In: Recent advances in financial engineering 2011: …, (pp. 183-202). 2012
Persistent link: https://www.econbiz.de/10009573431
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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/10003291317
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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 stochastic receding horizon control approach to constrained index tracking
Primbs, James A.; Sung, Chang Hwan - In: Asia-Pacific financial markets 15 (2008) 1, pp. 3-24
Persistent link: https://www.econbiz.de/10003757432
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A penalty cost approach to strategic asset allocation with illiquid asset classes
Hayes, Mark H.; Primbs, James A.; Chiquoine, Ben - In: The journal of portfolio management : a publication of … 41 (2015) 2, pp. 33-41
Persistent link: https://www.econbiz.de/10011294207