Statistical arbitrage for multiple co-integrated stocks (Q2152592): Difference between revisions

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+Statistical arbitrage in the US equities market
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+Risk control of mean-reversion time in statistical arbitrage
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Optimal investment for an insurer with cointegrated assets: CRRA utility
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+Optimal investment and consumption under a continuous-time cointegration model with exponential utility
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+Pairs trading
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+Dynamic pairs trading using the stochastic control approach
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+Risk-Sensitive Investment Management
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+PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION
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+Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
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+Costly arbitrage through pairs trading
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+OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
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+Controlled Markov processes and viscosity solutions
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+Risk-sensitive benchmarked asset management
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+On a Matrix Riccati Equation of Stochastic Control
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+On the eigenvalues of A + B and AB
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+Q4303969
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+Positive Weights on the Efficient Frontier
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+Statistical inference for ergodic diffusion processes.
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+A Generalized Eigenvalue Approach for Solving Riccati Equations
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