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
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)
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