Cui, Xiang-Yu; Li, Duan; Qiao, Xiao; Strub, Moris S. Risk and potential: an asset allocation framework with applications to robo-advising. (English) Zbl 1513.91072 J. Oper. Res. Soc. China 10, No. 3, 529-558 (2022). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{X.-Y. Cui} et al., J. Oper. Res. Soc. China 10, No. 3, 529--558 (2022; Zbl 1513.91072) Full Text: DOI
Yan, Tingjin; Wong, Hoi Ying Equilibrium pairs trading under delayed cointegration. (English) Zbl 1498.91409 Automatica 144, Article ID 110498, 12 p. (2022). MSC: 91G10 34K50 PDFBibTeX XMLCite \textit{T. Yan} and \textit{H. Y. Wong}, Automatica 144, Article ID 110498, 12 p. (2022; Zbl 1498.91409) Full Text: DOI
Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak-Kuen; Ching, Wai-Ki Optimal pairs trading with dynamic mean-variance objective. (English) Zbl 1480.91282 Math. Methods Oper. Res. 94, No. 1, 145-168 (2021). MSC: 91G15 91G20 60J60 PDFBibTeX XMLCite \textit{D.-M. Zhu} et al., Math. Methods Oper. Res. 94, No. 1, 145--168 (2021; Zbl 1480.91282) Full Text: DOI
Feng, Menglu; Chiu, Mei Choi; Wong, Hoi Ying Pairs trading with illiquidity and position limits. (English) Zbl 1476.91148 J. Ind. Manag. Optim. 16, No. 6, 2991-3009 (2020). MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{M. Feng} et al., J. Ind. Manag. Optim. 16, No. 6, 2991--3009 (2020; Zbl 1476.91148) Full Text: DOI
Chiu, Mei Choi Mean-variance equilibrium asset-liability management strategy with cointegrated assets. (English) Zbl 1457.91338 ANZIAM J. 62, No. 2, 209-234 (2020). MSC: 91G10 PDFBibTeX XMLCite \textit{M. C. Chiu}, ANZIAM J. 62, No. 2, 209--234 (2020; Zbl 1457.91338) Full Text: DOI
Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying Time-consistent mean-variance pairs-trading under regime-switching cointegration. (English) Zbl 1431.91355 SIAM J. Financ. Math. 10, No. 2, 632-665 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 91G80 35Q92 PDFBibTeX XMLCite \textit{K. Chen} et al., SIAM J. Financ. Math. 10, No. 2, 632--665 (2019; Zbl 1431.91355) Full Text: DOI Link
Suzuki, Kiyoshi Optimal pair-trading strategy over long/short/square positions – empirical study. (English) Zbl 1469.91052 Quant. Finance 18, No. 1, 97-119 (2018). MSC: 91G15 60J60 PDFBibTeX XMLCite \textit{K. Suzuki}, Quant. Finance 18, No. 1, 97--119 (2018; Zbl 1469.91052) Full Text: DOI
Chiu, Mei Choi; Wong, Hoi Ying Robust dynamic pairs trading with cointegration. (English) Zbl 1525.91185 Oper. Res. Lett. 46, No. 2, 225-232 (2018). MSC: 91G80 91G10 PDFBibTeX XMLCite \textit{M. C. Chiu} and \textit{H. Y. Wong}, Oper. Res. Lett. 46, No. 2, 225--232 (2018; Zbl 1525.91185) Full Text: DOI
Zhang, Yuanyuan; Li, Xiang; Guo, Sini Portfolio selection problems with Markowitz’s mean-variance framework: a review of literature. (English) Zbl 1429.91299 Fuzzy Optim. Decis. Mak. 17, No. 2, 125-158 (2018). MSC: 91G10 90C70 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Fuzzy Optim. Decis. Mak. 17, No. 2, 125--158 (2018; Zbl 1429.91299) Full Text: DOI
Suzuki, Kiyoshi Optimal pair-trading strategy over long/short/square positions – empirical study. (English) Zbl 1400.91655 Quant. Finance 17, No. 12, 97-119 (2017). MSC: 91G60 65C05 91-04 60J60 PDFBibTeX XMLCite \textit{K. Suzuki}, Quant. Finance 17, No. 12, 97--119 (2017; Zbl 1400.91655) Full Text: DOI
Suzuki, Kiyoshi Optimal switching strategy of a mean-reverting asset over multiple regimes. (English) Zbl 1335.49021 Automatica 67, 33-45 (2016). MSC: 49J40 49L25 PDFBibTeX XMLCite \textit{K. Suzuki}, Automatica 67, 33--45 (2016; Zbl 1335.49021) Full Text: DOI
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying Time-consistent mean-variance hedging of longevity risk: effect of cointegration. (English) Zbl 1304.91136 Insur. Math. Econ. 56, 56-67 (2014). MSC: 91B30 91G10 49L20 PDFBibTeX XMLCite \textit{T. W. Wong} et al., Insur. Math. Econ. 56, 56--67 (2014; Zbl 1304.91136) Full Text: DOI