Optimal pairs trading with dynamic mean-variance objective
Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak-Kuen Siu, Wai-Ki Ching
| Year of publication: |
2021
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|---|---|
| Authors: | Zhu, Dong-Mei ; Gu, Jia-Wen ; Yu, Feng-Hui ; Siu, Tak Kuen ; Ching, Wai Ki |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 94.2021, 1, p. 145-168
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| Subject: | Dynamic mean-variance (MV) | Ornstein-Uhlenbeck (OU) | Pairs trading | Time inconsistency | Portfolio-Management | Portfolio selection | Theorie | Theory | Zeitkonsistenz | Time consistency | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-021-00751-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012618990