Optimal switching strategy of a mean-reverting asset over multiple regimes
DOI10.1016/J.AUTOMATICA.2015.12.023zbMATH Open1335.49021OpenAlexW2290731940MaRDI QIDQ259389FDOQ259389
Authors: Kiyoshi Suzuki 
Publication date: 11 March 2016
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2015.12.023
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Cites Work
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- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Optimal selling rules in a regime switching model
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- Mean-variance portfolio selection of cointegrated assets
- Pairs trading
- Investment under alternative return assumptions
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Cited In (14)
- Dynamic trading with Markov liquidity switching
- An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
- Stochastic optimal switching model for migrating population dynamics
- Optimal entry and exit decisions under uncertainty and the impact of mean reversion
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
- A two-mode mean-field optimal switching problem for the full balance sheet
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Optimal switching decisions under stochastic volatility with fast mean reversion
- Analytic value function for optimal regime-switching pairs trading rules
- Optimal multiple trading times under the exponential OU model with transaction costs
- Optimal Switching over Multiple Regimes
- Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
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