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"Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching ..."
Kexin Chen, Mei Choi Chiu, Hoi Ying Wong (2019)
- Kexin Chen, Mei Choi Chiu, Hoi Ying Wong:
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration. SIAM J. Financial Math. 10(2): 632-665 (2019)
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