Robust dynamic pairs trading with cointegration (Q2417107): Difference between revisions

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+https://doi.org/10.1016/j.orl.2018.01.006
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+W2790556200
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+Optimal hedging using cointegration
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+Mean-variance portfolio selection of cointegrated assets
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+Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
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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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+Publication:2417107