"Optimal pairs trading with dynamic mean-variance objective."

Dong-Mei Zhu et al. (2021)

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DOI: 10.1007/S00186-021-00751-Z

access: closed

type: Journal Article

metadata version: 2021-10-14

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  - journals/mmor/ZhuGYSC21
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  - https://dblp.org/rec/journals/mmor/ZhuGYSC21
Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak Kuen Siu, Wai-Ki Ching:
Optimal pairs trading with dynamic mean-variance objective. Math. Methods Oper. Res. 94(1): 145-168 (2021)

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