We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The yields time-consistent policies and is analytically tractable even under some incomplete market settings. conform conventional investment wisdom (e.g., richer people should invest more absolute amounts of money in risky assets; longer time horizon, proportional amount be invested long-term investme...

Abstract Pairs trading is a typical example of convergence strategy. Investors buy relatively under-priced assets simultaneously, and sell over-priced to exploit temporary mispricing. This study examines optimal pairs strategies under symmetric non-symmetric constraints. Under the assumption that price spread pair correlated securities follows mean-reverting Ornstein-Uhlenbeck(OU) process, anal...