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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…
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…