DOI10.1016/j.automatica.2022.110498zbMath1498.91409MaRDI QIDQ2166010
Hoi Ying Wong, Tingjin Yan
Publication date: 23 August 2022 Published in: Automatica (Search for Journal in Brave) Full work available at URL: https://doi.org/10.1016/j.automatica.2022.110498
zbMATH Keywords
time inconsistency; stochastic delay differential equation; pairs trading; mean-variance portfolio
Mathematics Subject Classification ID
34K50: Stochastic functional-differential equations
91G10: Portfolio theory