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"Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching ..."

Kexin Chen, Mei Choi Chiu, Hoi Ying Wong (2019)

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DOI: 10.1137/18M1209611

access: closed

type: Journal Article

metadata version: 2019-12-27

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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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