Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration
Chen, Kexin, Chiu, Mei Choi, Wong, Hoi YingVolume:
10
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/18M1209611
Date:
January, 2019
File:
PDF, 532 KB
english, 2019