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"Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies."

Mei Choi Chiu, Hoi Ying Wong (2015)

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DOI: 10.1016/J.CAM.2015.06.004

access: open

type: Journal Article

metadata version: 2021-02-16

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Mei Choi Chiu, Hoi Ying Wong:
Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies. J. Comput. Appl. Math. 290: 516-534 (2015)

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