Optimal Pairs Trading with Dynamic Mean-Variance Objective

Dong-Mei Zhu , Jia-Wen Gu , Feng-Hui Yu , Tak-Kuen Siu , Wai-Ki Ching

Sep 16, 2021

PDF Journal Link

Type

Journal article

Publication

Mathematical Methods of Operations Research, 94(1), 145-168

Date

September, 2021