Optimal switching for the pairs trading rule: a viscosity solutions approach (Q275316): Difference between revisions

@@ Property / DOI @@
-.1016/j.jmaa.2016.03.060
@@ Property / DOI: 10.1016/j.jmaa.2016.03.060 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+L25
@@ Property / Mathematics Subject Classification ID: 49L25 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / zbMATH DE Number @@
+6573354
@@ Property / zbMATH DE Number: 6573354 / rank @@
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@@ Property / zbMATH Keywords @@
+pairs trading
@@ Property / zbMATH Keywords: pairs trading / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal switching
@@ Property / zbMATH Keywords: optimal switching / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-reverting process
@@ Property / zbMATH Keywords: mean-reverting process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+viscosity solutions
@@ Property / zbMATH Keywords: viscosity solutions / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W3125933830
@@ Property / OpenAlex ID: W3125933830 / rank @@
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@@ Property / arXiv ID @@
+.7649
@@ Property / arXiv ID: 1412.7649 / rank @@
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@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
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@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
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@@ Property / cites work @@
+Mean-variance portfolio selection of cointegrated assets
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer with cointegrated assets: CRRA utility
+Normal rank
@@ Property / cites work @@
+Pairs trading
@@ Property / cites work: Pairs trading / rank @@
+Normal rank
@@ Property / cites work @@
+Costly arbitrage through pairs trading
@@ Property / cites work: Costly arbitrage through pairs trading / rank @@
+Normal rank
@@ Property / cites work @@
+On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
+Normal rank
@@ Property / cites work @@
+An optimal pairs-trading rule
@@ Property / cites work: An optimal pairs-trading rule / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic pairs trading using the stochastic control approach
+Normal rank
@@ Property / cites work @@
+Trading a mean-reverting asset: buy low and sell high
+Normal rank
@@ Property / DOI @@
+.1016/J.JMAA.2016.03.060
@@ Property / DOI: 10.1016/J.JMAA.2016.03.060 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:275316