TRADING MULTIPLE MEAN REVERSION

DOI10.1142/S0219024922500066zbMath1484.91416arXiv2009.09816OpenAlexW4213453860MaRDI QIDQ5066298

Dmitry Muravey, Elena Boguslavskaya, Michael I. Boguslavsky

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.09816

zbMATH Keywords

hedgingOrnstein-Uhlenbeck processportfolio optimizationmean-reversionoptimal tradingdynamic portfolio optimizationstatistical arbitragetactical asset allocationrelative value trading

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

• Portfolio selection under incomplete information
• Statistical arbitrage in the US equities market
• Risk-Sensitive Investment Management
• PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION
• Risk-sensitive benchmarked asset management
• PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION
• Optimal portfolio under fractional stochastic environment
• Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment
• A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES
• A solution approach to valuation with unhedgeable risks
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