2 results
ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 07 September 2021, pp. 104-122
-
- Article
-
- You have access
- Open access
- HTML
- Export citation
A note on long-term optimal portfolios under drawdown constraints
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 38 / Issue 3 / September 2006
- Published online by Cambridge University Press:
- 01 July 2016, pp. 673-692
- Print publication:
- September 2006
-
- Article
-
- You have access
- Export citation