Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients

Dynamic Cointegrated Pairs Trading: Time-Consistent Mean-Variance Strategies

Cointegration is a useful econometric tool for identifying assets which share a common equilibrium. Cointegrated pairs trading is a trading strategy which attempts to take a profit when cointegrated assets depart from their equilibrium. This paper investigates the optimal dynamic trading of cointegrated assets using the classical mean-variance portfolio selection criterion. To ensure rational e...

Inequality Problems of Equilibrium Problems with Application

This paper aims at establishing the existence of results for a nonstandard equilibrium problems $(EP_{N})$. The solutions of this inequality are discussed in a subset $K$ (either bounded or unbounded) of a Banach spaces $X$. Moreover, we enhance the main results by application of some differential inclusion.

Optimal Mean-Variance Selling Strategies

where t runs from 0 onwards, the supremum is taken over stopping times τ of X , and c > 0 is a given and fixed constant. Using direct martingale arguments we first show that when μ ≤ 0 it is optimal to stop at once and when μ ≥ σ/2 it is optimal not to stop at all. By employing the method of Lagrange multipliers we then show that the nonlinear problem for 0 < μ < σ/2 can be reduced to a family ...

Uniqueness Theorems for Multidimensional inverse Problems with Unbounded Coefficients

Using linear mean and variance technique to evaluate the pattering in random winding process