An Optimal Trading Rule Under a Switchable Mean-Reversion Model
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DOI: 10.1007/s10957-012-0260-x
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Cited by:
- Kiyoshi Suzuki, 2021. "Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 336-360, February.
- Zakamulin, Valeriy & Giner, Javier, 2023. "Optimal trend-following with transaction costs," International Review of Financial Analysis, Elsevier, vol. 90(C).
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Keywords
Mean-reverting process; Optimal stopping; Quasi-variational inequalities;All these keywords.
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