Narrow search
Showing 1 - 10 of 23,179
Cover Image
Optimal liquidation of a pairs trade
Ekström, Erik; Lindberg, Carl; Tysk, Johan - In: Advanced mathematical methods for finance, (pp. 247-255). 2011
Persistent link: https://www.econbiz.de/10008991288
Cover Image
Ein linearer Programmierungsansatz zur Lösung von Stopp- und Steuerungsproblemen
Röhl, Stefan - 2001
Persistent link: https://www.econbiz.de/10001589417
Cover Image
Optimal portfolio construction and active portfolio management including alternative investments
Keel, Simon Theodor (contributor) - 2006
Persistent link: https://www.econbiz.de/10003512326
Cover Image
Hidden Markov models in finance
Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) - 2010
Persistent link: https://www.econbiz.de/10011550091
Cover Image
Further developments and applications
Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) - 2014 - Softcover reprint of the hardcover 1st edition 2014
Persistent link: https://www.econbiz.de/10011539298
Cover Image
Advancing the state of the art
Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) - 2010
Persistent link: https://www.econbiz.de/10008934439
Cover Image
Asset Liability Methoden für Pensionskassen und private Investoren
Pfiffner, Thomas - 2006
Persistent link: https://www.econbiz.de/10003389532
Cover Image
Optimal Pairs Trading Strategies : a Stochastic Mean-Variance Approach
Yu, Fenghui; Ching, Wai-Ki; WU, Chufang; Gu, Jiawen - 2021
In this paper, we consider optimal pairs trading strategies in terms of static optimality and dynamic optimality under mean-variance (MV) criterion. The spread of the entity pairs is assumed to be mean-reverting and follows an Ornstein-Uhlenbeck (OU) process. A constrained optimal control...
Persistent link: https://www.econbiz.de/10013312229
Cover Image
Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
Cover Image
Pairs trading : the performance of a stochastic spread model with regime switching-evidence from the S&P 500
Yang, Jen-Wei; Tsai, Shu-Yu; Shyu, So-De; Chang, Chia-Chien - In: International review of economics & finance : IREF 43 (2016), pp. 139-150
Persistent link: https://www.econbiz.de/10011625559