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- W4299606612 abstract "In this paper, we propose a pairs trading model that incorporates a time-varying volatility of the constant elasticity of variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two cointegrated assets, we define the trading strategies as the portfolio weights maximizing the expected power utility from terminal wealth. We compute the optimal pairs strategies by using a finite difference method. Finally, we illustrate our results by conducting tests on historical market data at daily frequency. The parameters are estimated by the generalized method of moments." @default.
- W4299606612 created "2022-10-02" @default.
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- W4299606612 date "2016-09-01" @default.
- W4299606612 modified "2023-09-30" @default.
- W4299606612 title "Optimal pairs trading with time-varying volatility" @default.
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- W4299606612 doi "https://doi.org/10.1142/s2424786316500237" @default.
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