Optimal Pairs Trading Strategies: A Stochastic Mean-Variance Approach.

Feng-Hui Yu Wai-Ki Ching Chufang Wu Jia-Wen Gu

Published in: J. Optim. Theory Appl. (2023)

Keyphrases

trading strategies
investment strategies
optimal solution
dynamic programming
optimal control
information extraction
test bed
optimal strategy
trading agents
long term