Pairs trading with illiquidity and position limits (Q2244254): Difference between revisions

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+https://doi.org/10.3934/jimo.2019090
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+W2963049383
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@@ Property / cites work @@
+On an Investment-Consumption Model with Transaction Costs
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+Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration
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+Mean-variance portfolio selection of cointegrated assets
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+Illiquidity, position limits, and optimal investment for mutual funds
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