Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (Q1627827)
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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 |
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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (English)
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3 December 2018
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pairs trading portfolio
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cointegration
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model predictive control
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conditional mean-variance optimization
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empirical simulations
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