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Optimal pairs trading strategies: a stochastic mean-variance approach - MaRDI portal

Optimal pairs trading strategies: a stochastic mean-variance approach (Q2679556)

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Optimal pairs trading strategies: a stochastic mean-variance approach
scientific article

    Statements

    title
    Optimal pairs trading strategies: a stochastic mean-variance approach (English)
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    author
    Feng-Hui Yu
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    Wai-Ki Ching
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    Chufang Wu
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    Jia-Wen Gu
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    publication date
    23 January 2023
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    zbMATH Keywords
    pairs trading
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    mean-variance (MV) analysis
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    time inconsistency
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    dynamic optimality
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    Ornstein-Uhlenbeck (OU)
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    Identifiers

    zbMATH DE Number
    7644263
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    OpenAlex ID
    W4309405378
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