Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies

Keyphrases

• Asymptotic Analysis 33%
• Classical Means 33%
• Cointegration 66%
• Copyright 33%
• Dynamic Programming Principle 33%
• Dynamic Time 33%
• Dynamic Trading 33%
• Dynamic Trading Strategies 33%
• Econometric Tools 33%
• Economic Decisions 33%
• Explicit Solution 33%
• Mean Reversion 33%
• Mean-variance 100%
• Mean-variance Portfolio Selection 33%
• Optimal Strategy 33%
• Optimization Problem 33%
• Pairs Trading 100%
• Partial Differential Equations 33%
• Pre-commitment 33%
• Selection Criteria 33%
• Statistical Arbitrage 33%
• Time Inconsistency 66%
• Time-consistent Policy 33%
• Time-consistent Strategy 100%
• Tractability 33%
• Trading Strategy 66%

Economics, Econometrics and Finance

• Arbitrage 100%
• Dynamic Programming 100%
• Econometrics 100%
• Mean Reversion 100%
• Portfolio Selection 100%