Optimal convergence trading with unobservable pricing errors (Q2241060): Difference between revisions

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+.01438
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+New results on the innovations problem for non-linear filtering
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+PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION
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+PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION
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+Costly arbitrage through pairs trading
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+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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