Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (Q4971976)
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scientific article; zbMATH DE number 7135133
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration |
scientific article; zbMATH DE number 7135133 |
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Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (English)
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22 November 2019
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cointegration models
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pairs-trading rules
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time-consistent mean-variance portfolio problem
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Markov-modulated regime-switching
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explicit solution
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equilibrium strategy
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