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Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration

  • Published:2019-01 Issue:2 Volume:10 Page:632-665
  • ISSN:1945-497X
  • Container-title:SIAM Journal on Financial Mathematics
  • language:en
  • Short-container-title:SIAM J. Finan. Math.

Author:

Chen KexinORCID,Chiu Mei ChoiORCID,Wong Hoi Ying

Funder

Research Grants Council, University Grants Committee

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Cited by 14 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A new investment method for statistical arbitrage using eigendecomposition to generate stationarity;2023 14th IIAI International Congress on Advanced Applied Informatics (IIAI-AAI);2023-07-08

2. Equilibrium pairs trading under delayed cointegration;Automatica;2022-10

3. A Note on Model Uncertainty for Statistical Arbitrage;SSRN Electronic Journal;2022

4. Optimal Retirement Under Partial Information;Mathematics of Operations Research;2021-11-30

5. Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model;Japan Journal of Industrial and Applied Mathematics;2021-08-30
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