Optimal pairs trading of mean-reverting processes over multiple assets (Q6164088)
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scientific article; zbMATH DE number 7719445
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal pairs trading of mean-reverting processes over multiple assets |
scientific article; zbMATH DE number 7719445 |
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Optimal pairs trading of mean-reverting processes over multiple assets (English)
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26 July 2023
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pairs trading
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Hamilton-Jacobi-Bellman equation
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Ornstein-Uhlenbeck process
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exponential utility
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