Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (Q1627827): Difference between revisions

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+Dynamic option hedging via stochastic model predictive control based on scenario simulation
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+Q4821526
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
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+Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
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+Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
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+Pairs trading
@@ Property / cites work: Pairs trading / rank @@
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Vast Portfolio Selection With Gross-Exposure Constraints
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+STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
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+Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
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+A stochastic receding horizon control approach to constrained index tracking
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+An optimal pairs-trading rule
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+Dynamic pairs trading using the stochastic control approach
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+OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS
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+Publication:1627827