Pages that link to "Item:Q550847"
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The following pages link to Mean-variance portfolio selection of cointegrated assets (Q550847):
Displaying 41 items.
- Optimal switching strategy of a mean-reverting asset over multiple regimes (Q259389) (← links)
- Optimal switching for the pairs trading rule: a viscosity solutions approach (Q275316) (← links)
- Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987) (← links)
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (Q492113) (← links)
- A note on optimal investment-consumption-insurance in a Lévy market (Q896739) (← links)
- Costly arbitrage through pairs trading (Q1657539) (← links)
- Mean-variance portfolio selection in a complete market with unbounded random coefficients (Q1689364) (← links)
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature (Q1795052) (← links)
- Robust tracking error portfolio selection with worst-case downside risk measures (Q1994379) (← links)
- Dynamic portfolio choice with return predictability and transaction costs (Q1999643) (← links)
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
- Equilibrium pairs trading under delayed cointegration (Q2166010) (← links)
- Mean-variance asset-liability management problem under non-Markovian regime-switching models (Q2187333) (← links)
- A continuous-time theory of reinsurance chains (Q2212167) (← links)
- Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment (Q2241057) (← links)
- Optimal convergence trading with unobservable pricing errors (Q2241060) (← links)
- Pairs trading with illiquidity and position limits (Q2244254) (← links)
- Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
- Mean-variance asset-liability management: cointegrated assets and insurance liability (Q2253397) (← links)
- Optimal dynamic basis trading (Q2334405) (← links)
- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration (Q2374128) (← links)
- Robust dynamic pairs trading with cointegration (Q2417107) (← links)
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration (Q2513456) (← links)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
- Mean-variance asset-liability management under constant elasticity of variance process (Q2520428) (← links)
- Optimal pairs trading strategies: a stochastic mean-variance approach (Q2679556) (← links)
- Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns (Q3295874) (← links)
- Dynamic asset–liability management in a Markov market with stochastic cash flows (Q4554228) (← links)
- Optimal pair-trading strategy over long/short/square positions—empirical study (Q4554412) (← links)
- Model-based pairs trading in the bitcoin markets (Q4555101) (← links)
- Optimal investment-consumption-insurance with random parameters (Q4576957) (← links)
- Optimal pair-trading strategy over long/short/square positions—empirical study (Q4957233) (← links)
- Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (Q4971976) (← links)
- Pairs trading under delayed cointegration (Q5039626) (← links)
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS (Q5150287) (← links)
- High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control (Q5207795) (← links)
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility (Q5234345) (← links)
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion (Q5379208) (← links)
- PATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOT (Q5401579) (← links)
- Portfolio selection with exploration of new investment assets (Q6168501) (← links)