Pairs trading with illiquidity and position limits
Work
Year: 2019
Type: article
Abstract: We investigate the optimal investment among the money market account, a liquid risky asset (e.g. stock index) and an illiquid risky asset (e.g. individual stock), where the two risky assets are cointe... more
Authors Menglu Feng, Mei Choi Chiu, Hoi Ying Wong
Institution Chinese University of Hong Kong
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: gold