Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (Q1627827): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 04:07, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints |
scientific article |
Statements
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (English)
0 references
3 December 2018
0 references
pairs trading portfolio
0 references
cointegration
0 references
model predictive control
0 references
conditional mean-variance optimization
0 references
empirical simulations
0 references
