Optimal pairs trading of mean-reverting processes over multiple assets

DOI10.3934/NACO.2022014zbMath1520.91377OpenAlexW4285153297MaRDI QIDQ6164088

Pengxu Xie, Hua-Yue Zhang, Lihua Bai

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2022014

zbMATH Keywords

Hamilton-Jacobi-Bellman equationOrnstein-Uhlenbeck processpairs tradingexponential utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

• Dynamic pairs trading using the stochastic control approach
• Optimal dynamic basis trading
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• Pairs trading

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