Optimal pairs trading with dynamic mean-variance objective.

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

Published in: Math. Methods Oper. Res. (2021)

Keyphrases

dynamic environments
pairwise
optimal solution
optimal control
electronic commerce
optimal design
database
case study
evolutionary algorithm
worst case
utility function
multiple objectives
pareto optimal
quadratic programming
dynamically changing
investment strategies