3 papers
q-fin.MF2023
Pairs Trading: An Optimal Selling Rule with Constraints
Ruyi Liu, Jingzhi Tie, Zhen Wu +1
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short posi…
math.OC2022
Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations
Ruyi Liu, Zhen Wu, Detao Zhang
In this paper, we investigate two families of fully coupled linear Forward-Backward Stochastic Differential Equations (FBSDE). Within these families, one could get the same well-po…
q-fin.MF2022
Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
Tian Chen, Ruyi Liu, Zhen Wu
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described…