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

Kexin Chen Mei Choi Chiu Hoi Ying Wong

Published in: SIAM J. Financial Math. (2019)

Keyphrases

pairwise
electronic commerce
real time
decision makers
utility function
trading systems
database
search engine
case study
long term
consistency constraints
quasi linear