Skip to main content

Optimal trading with mean-reverting prices: switching between foreign stocks and closed-end country funds

Buy Article:

$55.00 plus tax (Refund Policy)

We develop a model based on options theory which shows the optimal trading strategy for switching between two similar assets when the difference in their prices is mean-reverting. Statistical tests indicate that most closed-end country funds' discounts are mean-reverting. Using empirical estimates of the volatility and rate of mean reversion of these funds, we derive the optimal switch points and simulate the trading profits associated with switching between country funds and their foreign equities (and vice versa) whenever the optimal switch points are reached.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Data/Media
No Metrics

Document Type: Research Article

Publication date: 1996-09-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more