Optimal pairs trading of mean-reverting processes over multiple assets (Q6164088)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7719445
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal pairs trading of mean-reverting processes over multiple assets |
scientific article; zbMATH DE number 7719445 |
Statements
Optimal pairs trading of mean-reverting processes over multiple assets (English)
0 references
26 July 2023
0 references
pairs trading
0 references
Hamilton-Jacobi-Bellman equation
0 references
Ornstein-Uhlenbeck process
0 references
exponential utility
0 references
0.9091829657554626
0 references
0.8798085451126099
0 references
0.86521977186203
0 references
0.8511513471603394
0 references
0.8294589519500732
0 references
