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

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+Q3331506
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+Q3150773
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+Mean-variance portfolio selection of cointegrated assets
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+Optimal investment for an insurer with cointegrated assets: CRRA utility
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+Pairs trading
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+Costly arbitrage through pairs trading
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+On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
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+An optimal pairs-trading rule
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+Dynamic pairs trading using the stochastic control approach
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+Trading a mean-reverting asset: buy low and sell high
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