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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
Authors: Zhu, Dong-Mei ; Gu, Jia-Wen ; Yu, Feng-Hui ; Siu, Tak Kuen ; Ching, Wai Ki
Subject: Dynamic mean-variance (MV) | Ornstein-Uhlenbeck (OU) | Pairs trading | Time inconsistency | Portfolio-Management | Portfolio selection | Theorie | Theory | Zeitkonsistenz | Time consistency | Hedging
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