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...

This paper considers the expected utility portfolio optimization problem with initial-time and intermediate-time Value-at-Risk (VaR) constraints on terminal wealth. We derive the closed-form solutions which are optimal among all feasible strategies at initial time, i.e., precommitted strategies....