Xing, Haipeng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-23
stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs … use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs … dynamic trading strategies with proportional transaction costs. We show that the value function of the control problem is the …