Optimal pairs trading strategies: a stochastic mean-variance approach (Q2679556)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal pairs trading strategies: a stochastic mean-variance approach |
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Optimal pairs trading strategies: a stochastic mean-variance approach (English)
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23 January 2023
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pairs trading
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mean-variance (MV) analysis
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time inconsistency
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dynamic optimality
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Ornstein-Uhlenbeck (OU)
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