Optimal mean reversion trading with transaction costs and stop-loss exit
Year of publication: |
2015
|
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Authors: | Leung, Tim ; Li, Xin |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 3, p. 1-31
|
Subject: | Optimal double stopping | mean reversion trading | Ornstein-Uhlenbeck process | stop-loss | Theorie | Theory | Transaktionskosten | Transaction costs | Mean Reversion | Mean reversion | Portfolio-Management | Portfolio selection |
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