Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints

DOI10.1007/S10690-017-9236-ZzbMath1418.91493OpenAlexW2771962064MaRDI QIDQ1627827

James A. Primbs, Yuji Yamada

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-017-9236-z

zbMATH Keywords

cointegrationmodel predictive controlconditional mean-variance optimizationempirical simulationspairs trading portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

Investment portfolio tracking using model predictive control ⋮ MultiObjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control

Cites Work

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• Pairs trading
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