Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Year of publication: |
2018
|
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Authors: | Yamada, Yuji ; Primbs, James A. |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 25.2018, 1, p. 1-21
|
Subject: | Pairs trading portfolio | Cointegration | Model predictive control | Conditional mean-variance optimization | Empirical simulations | Theorie | Theory | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Transaktionskosten | Transaction costs | Kointegration | Simulation |
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