Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies

Journal of Computational and Applied Mathematics

Volumn 290, Issue , 2015, Pages 516-534

  Chiu, Mei Choi ^a   Wong, Hoi Ying ^b  

^a THE EDUCATION UNIVERSITY OF HONG KONG   (Hong Kong)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Cointegration; Mean variance portfolio theory; Pair trade; Time consistency

Indexed keywords

ASYMPTOTIC ANALYSIS; COMMERCE; FINANCIAL MARKETS; NONLINEAR EQUATIONS; OPTIMIZATION;

ANALYTICAL TRACTABILITY; COINTEGRATION; DYNAMIC PROGRAMMING PRINCIPLE; MEAN-VARIANCE PORTFOLIO THEORIES; MEAN-VARIANCE PORTFOLIOS; NONLINEAR HAMILTON-JACOBI-BELLMAN PARTIAL DIFFERENTIAL EQUATIONS; STATISTICAL ARBITRAGE; TIME CONSISTENCY;

DYNAMIC PROGRAMMING;

EID: 84947261738     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2015.06.004     Document Type: Article

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