Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach

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Publication:4991679

DOI10.1287/MOOR.2020.1059zbMath1470.60116OpenAlexW3091233581MaRDI QIDQ4991679

Kiyoshi Suzuki

Publication date: 3 June 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2020.1059




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