The effect of mean reversion on entry and exit decisions under uncertainty
DOI10.1016/J.JEDC.2009.10.015zbMATH Open1202.91340OpenAlexW3125196117MaRDI QIDQ964582FDOQ964582
Authors: Andrianos E. Tsekrekos 
Publication date: 22 April 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2009.10.015
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Cited In (17)
- Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach
- Irreversible exit decisions under mean-reverting uncertainty
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- Entry-exit decisions with underlying processes following geometric Lévy processes
- Good timing: the economics of optimal stopping
- The effect of mean reversion on investment under uncertainty
- Earnings mean reversion and dynamic optimal capital structure
- Entry-exit decisions with implementation delay under uncertainty.
- Optimal entry and exit decisions under uncertainty and the impact of mean reversion
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Leveraged investments and agency conflicts when cash flows are mean reverting
- Hysteresis effects under CIR interest rates
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Capacity optimization under uncertainty: the impact of operational time lags
- Entry and exit decisions with linear costs under uncertainty
- The misconception of mean-reversion
- Optimal pair-trading strategy over long/short/square positions—empirical study
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