An optimal strategy for pairs trading under geometric Brownian motions

DOI10.1007/s10957-017-1065-8zbMath1418.91491MaRDI QIDQ1626514

Jingzhi Tie, Qing Zhang, Han-Qin Zhang

Publication date: 27 November 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-017-1065-8

zbMATH Keywords

quasi-variational inequalities; pairs trading; optimal policy

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G10: Portfolio theory

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