Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach
Suzuki, KiyoshiЖурнал:
Mathematics of Operations Research
DOI:
10.1287/moor.2020.1059
Date:
October, 2020
Файл:
PDF, 1.03 MB
2020
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