Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach (Q4991679): Difference between revisions

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scientific article; zbMATH DE number 7354644

Language	Label	Description	Also known as
English	Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach	scientific article; zbMATH DE number 7354644

Statements

instance of

scholarly article

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title

Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach (English)

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author

Kiyoshi Suzuki

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published in

Mathematics of Operations Research

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publication date

3 June 2021

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zbMATH Keywords

optimal multiple switching problem

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viscosity solution approach

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pair-trading strategy

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quadratic risk aversion function

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optimal switching regions

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simultaneous multiple switching

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1287/moor.2020.1059

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cites work

On the One-Dimensional Optimal Switching Problem

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Optimal Switching in an Economic Activity under Uncertainty

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User’s guide to viscosity solutions of second order partial differential equations

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A Finite Horizon Optimal Multiple Switching Problem

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A model for investment decisions with switching costs.

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OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON

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Stochastic optimal multi-modes switching with a viscosity solution approach

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The finite horizon optimal multi-modes switching problem: the viscosity solution approach

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Pairs trading

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Q4086524

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On the Starting and Stopping Problem: Application in Reversible Investments

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Multi-dimensional BSDE with oblique reflection and optimal switching

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Investment under alternative return assumptions

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Optimal switching for the pairs trading rule: a viscosity solutions approach

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An optimal trading rule under a switchable mean-reversion model

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Continuous-time stochastic control and optimization with financial applications

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Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case

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Optimal Switching over Multiple Regimes

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Optimal tracking for asset allocation with fixed and proportional transaction costs

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The effect of mean reversion on investment under uncertainty

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An optimal pairs-trading rule

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Optimal switching strategy of a mean-reverting asset over multiple regimes

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Optimal pair-trading strategy over long/short/square positions—empirical study

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Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach

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The effect of mean reversion on entry and exit decisions under uncertainty

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A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping

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Trading a mean-reverting asset: buy low and sell high

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Identifiers

zbMATH Open document ID

1470.60116

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Mathematics Subject Classification ID

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10.1287/MOOR.2020.1059

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Sitelinks

Mathematics(1 entry)

mardi Publication:4991679

@@ Property / DOI @@
-.1287/moor.2020.1059
@@ Property / DOI: 10.1287/moor.2020.1059 / rank @@
-Normal rank
@@ Property / cites work @@
+On the One-Dimensional Optimal Switching Problem
@@ Property / cites work: On the One-Dimensional Optimal Switching Problem / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Switching in an Economic Activity under Uncertainty
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+A Finite Horizon Optimal Multiple Switching Problem
+Normal rank
@@ Property / cites work @@
+A model for investment decisions with switching costs.
+Normal rank
@@ Property / cites work @@
+OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON
+Normal rank
@@ Property / cites work @@
+Stochastic optimal multi-modes switching with a viscosity solution approach
+Normal rank
@@ Property / cites work @@
+The finite horizon optimal multi-modes switching problem: the viscosity solution approach
+Normal rank
@@ Property / cites work @@
+Pairs trading
@@ Property / cites work: Pairs trading / rank @@
+Normal rank
@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Starting and Stopping Problem: Application in Reversible Investments
+Normal rank
@@ Property / cites work @@
+Multi-dimensional BSDE with oblique reflection and optimal switching
+Normal rank
@@ Property / cites work @@
+Investment under alternative return assumptions
@@ Property / cites work: Investment under alternative return assumptions / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal switching for the pairs trading rule: a viscosity solutions approach
+Normal rank
@@ Property / cites work @@
+An optimal trading rule under a switchable mean-reversion model
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
+Normal rank
@@ Property / cites work @@
+Optimal Switching over Multiple Regimes
@@ Property / cites work: Optimal Switching over Multiple Regimes / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal tracking for asset allocation with fixed and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+The effect of mean reversion on investment under uncertainty
+Normal rank
@@ Property / cites work @@
+An optimal pairs-trading rule
@@ Property / cites work: An optimal pairs-trading rule / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal switching strategy of a mean-reverting asset over multiple regimes
+Normal rank
@@ Property / cites work @@
+Optimal pair-trading strategy over long/short/square positions—empirical study
+Normal rank
@@ Property / cites work @@
+Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
+Normal rank
@@ Property / cites work @@
+The effect of mean reversion on entry and exit decisions under uncertainty
+Normal rank
@@ Property / cites work @@
+A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
+Normal rank
@@ Property / cites work @@
+Trading a mean-reverting asset: buy low and sell high
+Normal rank
@@ Property / DOI @@
+.1287/MOOR.2020.1059
@@ Property / DOI: 10.1287/MOOR.2020.1059 / rank @@
+Normal rank