OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS

DOI10.15807/jorsj.60.244zbMath1386.91131OpenAlexW2740280098MaRDI QIDQ4596998

Rei Yamamoto, Norio Hibiki

Publication date: 11 December 2017

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.60.244

zbMATH Keywords

derivative free optimizationfinancepairs trading strategymultiple pairsfund management conditions

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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