Optimal pairs trading with dynamic mean-variance objective (Q2238762)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal pairs trading with dynamic mean-variance objective |
scientific article |
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Optimal pairs trading with dynamic mean-variance objective (English)
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2 November 2021
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dynamic mean-variance (MV)
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Ornstein-Uhlenbeck (OU)
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pairs trading
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time inconsistency
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