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TRADING MULTIPLE MEAN REVERSION - MaRDI portal

TRADING MULTIPLE MEAN REVERSION (Q5066298)

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scientific article; zbMATH DE number 7499768
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English
TRADING MULTIPLE MEAN REVERSION
scientific article; zbMATH DE number 7499768

    Statements

    title
    TRADING MULTIPLE MEAN REVERSION (English)
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    author
    Elena Boguslavskaya
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    Michael I. Boguslavsky
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    Dmitry Muravey
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    publication date
    29 March 2022
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    zbMATH Keywords
    portfolio optimization
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    dynamic portfolio optimization
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    optimal trading
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    statistical arbitrage
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    relative value trading
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    tactical asset allocation
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    Ornstein-Uhlenbeck process
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    mean-reversion
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    hedging
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    Identifiers

    zbMATH DE Number
    7499768
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    arXiv ID
    2009.09816
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    OpenAlex ID
    W4213453860
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