An optimal strategy for pairs trading under geometric Brownian motions
From MaRDI portal
Publication:1626514
DOI10.1007/s10957-017-1065-8zbMath1418.91491MaRDI QIDQ1626514
Qing Zhang, Han-Qin Zhang, Jingzhi Tie
Publication date: 27 November 2018
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-017-1065-8
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G10: Portfolio theory