Optimal switching for the pairs trading rule: A viscosity solutions approach
نویسندگان
چکیده
منابع مشابه
Optimal Pairs Trading Rules
OPTIMAL PAIRS TRADING RULES by Eric Mueller The University of Wisconsin-Milwaukee, 2016 Under the Supervision of Professor Chao Zhu This thesis derives an optimal trading rule for a pair of historically correlated stocks. When one stock's price increases and the other one's decreases, a trade of the pair is triggered. The idea is to short the winner and to long the loser with the hope that the ...
متن کاملa benchmarking approach to optimal asset allocation for insurers and pension funds
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
15 صفحه اولStochastic Optimal Multi-Modes Switching with a Viscosity Solution Approach
We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary (gij(t, x) ≥ 0). We show existence of the optimal strategy, and give when the optimal strategy is finite via a verification theorem. Finally, when the state of the system is a markov process, we show that the vector of value functions of ...
متن کاملAn Optimal Trading Rule Under a Switchable Mean-Reversion Model
This work provides an optimal trading rule that allows buying and selling of an asset sequentially over time. The asset price follows a switchable mean-reversion model with a Markovian jump. Such model can be applied to assets with a “staircase” price behavior and yet simple enough to allow an analytic solution. The objective is to determine a sequence of trading times to maximize an overall re...
متن کاملInvariant Sets for Controlled Degenerate Diiusions: a Viscosity Solutions Approach
We study invariance and viability properties of a closed set for the trajectories of either a controlled diiusion process or a controlled deterministic system with disturbances. We use the value functions associated to suitable optimal control problems or diierential games and analyze the related Dynamic Programming equation within the theory of viscosity solutions.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2016
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2016.03.060