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Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings : a viscosity solution approach
Suzuki, Kiyoshi
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012498193
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Optimal pair-trading strategy over long/short/square positions : empirical study
Suzuki, Kiyoshi
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 97-119
Persistent link: https://www.econbiz.de/10011905833
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