Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration

DOI10.1137/18M1209611;zbMath1431.91355MaRDI QIDQ4971976

Mei Choi Chiu, Kexin Chen, Hoi Ying Wong

Publication date: 22 November 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1209611

zbMATH Keywords

explicit solutionequilibrium strategycointegration modelsMarkov-modulated regime-switchingpairs-trading rulestime-consistent mean-variance portfolio problem

Mathematics Subject Classification ID

PDEs in connection with biology, chemistry and other natural sciences (35Q92) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Equilibrium pairs trading under delayed cointegration ⋮ Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns ⋮ Pairs trading with illiquidity and position limits ⋮ Time-consistent longevity hedging with long-range dependence ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model ⋮ Optimal Retirement Under Partial Information

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