Trading multiple mean reversion
Elena Boguslavskaya, Michael Boguslavsky, Dmitry Muravey
| Year of publication: |
2022
|
|---|---|
| Authors: | Boguslavskaya, Elena ; Boguslavsky, Michael ; Muravey, Dmitry |
| Subject: | dynamic portfolio optimization | hedging | mean-reversion | optimal trading | Ornstein-Uhlenbeck process | Portfolio optimization | relative value trading | statistical arbitrage | tactical asset allocation | Portfolio-Management | Portfolio selection | Theorie | Theory | Hedging | Mean Reversion | Mean reversion | Anlageverhalten | Behavioural finance | Arbitrage | Kapitaleinkommen | Capital income | Wertpapierhandel | Securities trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024922500066 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013189914