17 citations · 17 across the 3 of their papers we have counts for
Showing q-fin.PMShow all
2 papers · 1 filter
q-fin.PM2019
Optimal Convergence Trading with Unobservable Pricing Errors
Sühan Altay, Katia Colaneri, Zehra Eksi
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relati…
q-fin.PM2017★ 17 cited
Pairs Trading under Drift Uncertainty and Risk Penalization
Sühan Altay, Katia Colaneri, Zehra Eksi
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short…