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http://bura.brunel.ac.uk/handle/2438/28687| Title: | Trading multiple mean reversion |
| Authors: | Boguslavskaya, E Boguslavsky, M Muravey, D |
| Issue Date: | 23-Feb-2021 |
| Publisher: | World Scientific Publishing |
| Citation: | Boguslavskaya, E., Boguslavsky, M. and Muravey, D. (2022) 'Trading multiple mean reversion', International Journal of Theoretical and Applied Finance, 25 (1), 2250006, pp. 1 - 34. doi: 10.1142/S0219024922500066. |
| Abstract: | How should one construct a portfolio from multiple mean-reverting assets? Should one add an asset to a portfolio even if the asset has zero mean reversion? We consider a position management problem for an agent trading multiple mean-reverting assets. We solve an optimal control problem for an agent with power utility, and present an explicit solution for several important special cases and a semi-explicit solution for the general case. The near-explicit nature of the solution allows us to study the effects of parameter misspecification, and derive a number of properties of the optimal solution. |
| URI: | https://bura.brunel.ac.uk/handle/2438/28687 |
| DOI: | https://doi.org/10.1142/S0219024922500066 |
| ISSN: | 0219-0249 |
| Other Identifiers: | ORCiD: Elena Boguslavskaya https://orcid.org/0000-0001-7347-7115 2250006 |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | This is an electronic version of an article published as 'Trading multiple mean reversion', International Journal of Theoretical and Applied Finance, Vol. 25, No. 01, 2250006 (2022). DOI: 10.1142/S0219024922500066 available at: https://www.worldscientific.com/doi/abs/10.1142/S0219024922500066. Copyright © 2022 World Scientific Publishing Co Pte Ltd. All rights reserved. (see: https://www.worldscientific.com/page/authors/author-rights). | 1.94 MB | Adobe PDF | View/Open |
| Preprint.pdf | Copyright © 2020 The Authors. arXiv.org - Non-exclusive license to distribute. The URI https://arxiv.org/licenses/nonexclusive-distrib/1.0/ is used to record the fact that the submitter granted the following license to arXiv.org on submission of an article: * I grant arXiv.org a perpetual, non-exclusive license to distribute this article. * I certify that I have the right to grant this license. * I understand that submissions cannot be completely removed once accepted. * I understand that arXiv.org reserves the right to reclassify or reject any submission. | 1.21 MB | Adobe PDF | View/Open |
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