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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/28687
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dc.contributor.authorBoguslavskaya, E-
dc.contributor.authorBoguslavsky, M-
dc.contributor.authorMuravey, D-
dc.date.accessioned2024-04-03T15:10:41Z-
dc.date.available2024-04-03T15:10:41Z-
dc.date.issued2021-02-23-
dc.identifierORCiD: Elena Boguslavskaya https://orcid.org/0000-0001-7347-7115-
dc.identifier2250006-
dc.identifier.citationBoguslavskaya, 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.en_US
dc.identifier.issn0219-0249-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/28687-
dc.description.abstractHow 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.en_US
dc.description.sponsorshipDmitry Muravey acknowledges support by the Russian Science Foundation under the Grant number 20-68-47030.en_US
dc.format.extent1 - 34-
dc.format.mediumPrint-Electronic-
dc.language.isoen_USen_US
dc.publisherWorld Scientific Publishingen_US
dc.rightsThis 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).-
dc.rights.urihttps://www.worldscientific.com/page/authors/author-rights-
dc.titleTrading multiple mean reversionen_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.1142/S0219024922500066-
dc.relation.isPartOfInternational Journal of Theoretical and Applied Finance-
pubs.issue1-
pubs.publication-statusPublished-
pubs.volume25-
dc.identifier.eissn1793-6322-
dc.rights.holderWorld Scientific Publishing Co Pte Ltd.-
Appears in Collections:Dept of Mathematics Research Papers

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FullText.pdfThis 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 MBAdobe PDFView/Open
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