Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
type: Item
instance of: scholarly article
title: Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
zbMATH Open document ID: 1418.91493
author: Yuji Yamada
author: James A. Primbs
published in: Asia-Pacific Financial Markets
publication date: 2018-12-03T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 93B40
zbMATH DE Number: 6987764
zbMATH Keywords: pairs trading portfolio
zbMATH Keywords: cointegration
zbMATH Keywords: model predictive control
zbMATH Keywords: conditional mean-variance optimization
zbMATH Keywords: empirical simulations
MaRDI profile type: Publication
full work available at URL: s10690-017-9236-z
OpenAlex ID: W2771962064
cites work: Dynamic option hedging via stochastic model predictive control based on scenario simulation
cites work: Q4821526
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
cites work: Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
cites work: Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
cites work: Pairs trading
cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: Vast Portfolio Selection With Gross-Exposure Constraints
cites work: STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
cites work: Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
cites work: Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
cites work: A stochastic receding horizon control approach to constrained index tracking
cites work: An optimal pairs-trading rule
cites work: Dynamic pairs trading using the stochastic control approach
cites work: OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS
DOI: 10.1007/S10690-017-9236-Z
description: scientific article; zbMATH DE number 6987764