Optimal pairs trading with dynamic mean-variance objective
Work
Year: 2021
Type: article
Abstract: Pairs trading is a typical example of a convergence trading strategy. Investors buy relatively under-priced assets simultaneously, and sell relatively over-priced assets to exploit temporary misprici... more
Institutions Southeast University, Southern University of Science and Technology, ETH Zurich, Macquarie University, University of Hong Kong
Cites: 34
Cited by: 7
Related to: 10
FWCI: 0.992
Citation percentile (by year/subfield): 89.44
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: hybrid
APC paid (est): $2,890
Funders National Natural Science Foundation of China, Fundamental Research Funds for the Central Universities
Grant IDS 11801262, 2242020S30030