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Optimal pairs trading with dynamic mean-variance objective - MaRDI portal

Optimal pairs trading with dynamic mean-variance objective (Q2238762)

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Optimal pairs trading with dynamic mean-variance objective
scientific article

    Statements

    title
    Optimal pairs trading with dynamic mean-variance objective (English)
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    author
    Jia-Wen Gu
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    Feng-Hui Yu
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    Tak Kuen Siu
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    Wai-Ki Ching
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    Dong-Mei Zhu
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    publication date
    2 November 2021
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    zbMATH Keywords
    dynamic mean-variance (MV)
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    Ornstein-Uhlenbeck (OU)
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    pairs trading
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    time inconsistency
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    Identifiers

    Mathematics Subject Classification ID
    91G15
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    91G20
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    60J60
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    zbMATH DE Number
    7418770
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    OpenAlex ID
    W3195128978
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