Optimal pairs trading with dynamic mean-variance objective. - Dong-Mei Zhu; Jia-Wen Gu; Feng-Hui Yu; Tak Kuen Siu; Wai-Ki Ching (Math. Methods Oper. Res., 2021)

Optimal Pairs Trading Strategies: A Stochastic Mean-Variance Approach. - Feng-Hui Yu; Wai-Ki Ching; Chufang Wu; Jia-Wen Gu (J. Optim. Theory Appl., 2023)