Optimal pairs trading with dynamic mean-variance objective (Q2238762)
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scientific article; zbMATH DE number 7418770
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal pairs trading with dynamic mean-variance objective |
scientific article; zbMATH DE number 7418770 |
Statements
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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0.9050474762916564
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0.8798085451126099
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0.8426092863082886
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0.8348116874694824
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0.8326033353805542
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