"Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy ..."

Kiyoshi Suzuki (2021)

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DOI: 10.1287/MOOR.2020.1059

access: closed

type: Journal Article

metadata version: 2021-03-23

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Kiyoshi Suzuki:
Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach. Math. Oper. Res. 46(1): 336-360 (2021)

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