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
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 09:49, 8 February 2024
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
Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach (English)
0 references
3 June 2021
0 references
optimal multiple switching problem
0 references
viscosity solution approach
0 references
pair-trading strategy
0 references
quadratic risk aversion function
0 references
optimal switching regions
0 references
simultaneous multiple switching
0 references
