Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations (Q4619542)
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scientific article; zbMATH DE number 7013662
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations |
scientific article; zbMATH DE number 7013662 |
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Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations (English)
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6 February 2019
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portfolio choice
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mean-reverting security
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transaction costs
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