Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
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Publication:492113
DOI10.1016/j.cam.2015.06.004zbMath1319.91139OpenAlexW2135797157WikidataQ58980754 ScholiaQ58980754MaRDI QIDQ492113
Publication date: 19 August 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.06.004
Related Items (12)
Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Equilibrium pairs trading under delayed cointegration ⋮ Robust dynamic pairs trading with cointegration ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS ⋮ Optimal pairs trading with dynamic mean-variance objective ⋮ Pairs trading with illiquidity and position limits ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ Optimal switching strategy of a mean-reverting asset over multiple regimes
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