Optimal pairs trading with dynamic mean-variance objective

Zhu, DM; Gu, JW; Yu, FH; Siu, TK; Ching, WK

Yu, FH (corresponding author), ETH, RiskLab & Dept Math, Zurich, Switzerland.

MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2021; 94 (1): 145

Abstract

Pairs trading is a typical example of a convergence trading strategy. Investors buy relatively under-priced assets simultaneously, and sell relatively......

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