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utility maximization
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International journal of financial engineering
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Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
Leung, Tim
;
Yan, Raphael
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011923058
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A stochastic control approach to managed futures portfolios
Leung, Tim
;
Yan, Raphael
- In:
International journal of financial engineering
6
(
2019
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012028856
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