论文标题
交易多重均值回复
Trading multiple mean reversion
论文作者
论文摘要
一个人应该如何从多个均值回复资产中构建投资组合？即使资产的均值回复为零，也应该向投资组合添加资产吗？我们考虑用于交易多个均值回复资产的代理商的职位管理问题。我们为具有功率实用程序的代理解决了一个最佳控制问题，并提出了半明确的解决方案。解决方案的几乎明确的性质使我们能够研究参数错误指定的影响，并得出最佳解决方案的许多特性。
How should one construct a portfolio from multiple mean-reverting assets? Should one add an asset to 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 a semi-explicit solution. The nearly explicit nature of the solution allows us to study the effects of parameter mis-specification, and derive a number of properties of the optimal solution.
