Optimal pairs trading with dynamic mean-variance objective

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Publication:2238762

DOI10.1007/s00186-021-00751-zzbMath1480.91282OpenAlexW3195128978MaRDI QIDQ2238762

Tak Kuen Siu, Jia-Wen Gu, Wai-Ki Ching, Feng-Hui Yu, Dong-Mei Zhu

Publication date: 2 November 2021

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-021-00751-z




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