Optimal switching strategy of a mean-reverting asset over multiple regimes
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Cites work
- scientific article; zbMATH DE number 3425963 (Why is no real title available?)
- scientific article; zbMATH DE number 51897 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
- A model for investment decisions with switching costs.
- An optimal pairs-trading rule
- An optimal trading rule under a switchable mean-reversion model
- Continuous-time stochastic control and optimization with financial applications
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Dynamic pairs trading using the stochastic control approach
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
- Investment under alternative return assumptions
- Mean-variance portfolio selection of cointegrated assets
- On the One-Dimensional Optimal Switching Problem
- On the Starting and Stopping Problem: Application in Reversible Investments
- On the optimal stopping problem for one-dimensional diffusions.
- Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
- Optimal Switching in an Economic Activity under Uncertainty
- Optimal Switching over Multiple Regimes
- Optimal selling rules in a regime switching model
- Optimal stock liquidation in a regime switching model with finite time horizon
- Pairs trading
- Stock trading: an optimal selling rule
- The effect of mean reversion on entry and exit decisions under uncertainty
- The effect of mean reversion on investment under uncertainty
- Trading a mean-reverting asset: buy low and sell high
Cited in
(14)- Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
- 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
- A two-mode mean-field optimal switching problem for the full balance sheet
- Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
- 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
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