Optimal portfolio selection in nonlinear arbitrage spreads

Hamad Alsayed and Frank McGroarty

Year of publication:	2013
Authors:	Alsayed, Hamad ; McGroarty, Frank
Published in:	The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 19.2013, 3/4, p. 206-227
Subject:	pairs trading \| Hamilton–Jacobi–Bellman equation \| statistical arbitrage \| stochastic optimal control \| stability bounds \| Portfolio-Management \| Portfolio selection \| Arbitrage \| Stochastischer Prozess \| Stochastic process \| Kontrolltheorie \| Control theory \| Arbitrage Pricing \| Arbitrage pricing \| Mathematische Optimierung \| Mathematical programming

Check Google Scholar |

More access options

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10010243657

A service of the