Optimal pairs trading with dynamic mean-variance objective

被引：0

作者：

Zhu, Dong-Mei ^{[1
]}

Gu, Jia-Wen ^{[2
]}

Yu, Feng-Hui ^{[3
]}

Siu, Tak-Kuen ^{[4
]}

Ching, Wai-Ki ^{[5
]}

机构：

[1] Southeast Univ, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China

[2] Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China

[3] ETH, RiskLab & Dept Math, Zurich, Switzerland

[4] Macquarie Univ, Macquarie Business Sch, Dept Actuarial Studies & Business Analyt, Sydney, NSW 2109, Australia

[5] Univ Hong Kong, Dept Math, Adv Modeling & Appl Comp Lab, Pokfulam Rd,Hughes Hall,Wollaston Rd,Hong Kong, Cambridge, England

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2021年 / 94卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Dynamic mean-variance (MV); Ornstein-Uhlenbeck (OU); Pairs trading; Time inconsistency; PORTFOLIO SELECTION; CONSUMPTION;

D O I：

10.1007/s00186-021-00751-z

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Pairs trading is a typical example of a convergence trading strategy. Investors buy relatively under-priced assets simultaneously, and sell relatively over-priced assets to exploit temporary mispricing. This study examines optimal pairs trading strategies under symmetric and non-symmetric trading constraints. Under the assumption that the price spread of a pair of correlated securities follows a mean-reverting Ornstein-Uhlenbeck(OU) process, analytical trading strategies are obtained under a mean-variance(MV) framework. Model estimation and empirical studies on trading strategies have been conducted using data on pairs of stocks and futures traded on China's securities market. These results indicate that pairs trading strategies have fairly good performance.

引用

页码：145 / 168

页数：24

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