Pairs trading with illiquidity and position limits

DOI10.3934/JIMO.2019090zbMath1476.91148OpenAlexW2963049383MaRDI QIDQ2244254

Hoi Ying Wong, Mei Choi Chiu, Menglu Feng

Publication date: 12 November 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2019090

zbMATH Keywords

cointegrationliquiditypairs tradingsingular control problemposition limits

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
• Mean-variance portfolio selection of cointegrated assets
• Illiquidity, position limits, and optimal investment for mutual funds
• Option valuation with co-integrated asset prices
• Costly arbitrage through pairs trading
• Dynamic pairs trading using the stochastic control approach
• Optimal investment for an insurer with cointegrated assets: CRRA utility
• Mean-variance asset-liability management: cointegrated assets and insurance liability
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• On an Investment-Consumption Model with Transaction Costs
• Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration
• Portfolio Selection with Transaction Costs

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