Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
Tim Leung and Raphael Yan
| Year of publication: |
September 2018
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|---|---|
| Authors: | Leung, Tim ; Yan, Raphael |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 3, p. 1-23
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| Subject: | Dynamic trading | futures portfolio | mean-reverting model | utility maximization | Portfolio-Management | Portfolio selection | Theorie | Theory | Derivat | Derivative | Mean Reversion | Mean reversion | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500275 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923058