An optimal strategy for pairs trading under geometric Brownian motions (Q1626514): Difference between revisions

@@ Property / DOI @@
-.1007/s10957-017-1065-8
@@ Property / DOI: 10.1007/s10957-017-1065-8 / rank @@
-Normal rank
@@ Property / author @@
+Han-Qin Zhang
@@ Property / author: Han-Qin Zhang / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10957-017-1065-8
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@@ Property / OpenAlex ID @@
+W2582976809
@@ Property / OpenAlex ID: W2582976809 / rank @@
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@@ Property / cites work @@
+An optimal pairs-trading rule
@@ Property / cites work: An optimal pairs-trading rule / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal time to invest when the price processes are geometric Brownian motions
+Normal rank
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+Portfolio Selection with Transaction Costs
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+Stochastic differential equations. An introduction with applications.
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@@ Property / DOI @@
+.1007/S10957-017-1065-8
@@ Property / DOI: 10.1007/S10957-017-1065-8 / rank @@
+Normal rank