Robust dynamic pairs trading with cointegration
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Publication:2417107
DOI10.1016/J.ORL.2018.01.006OpenAlexW2790556200MaRDI QIDQ2417107
Publication date: 11 June 2019
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2018.01.006
Related Items (4)
Robust risk-taking under a sustainable constraint ⋮ MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS ⋮ Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration
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