Optimal portfolio execution under cointegrated vector autoregressive systems (Q4598844)
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scientific article; zbMATH DE number 6819360
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal portfolio execution under cointegrated vector autoregressive systems |
scientific article; zbMATH DE number 6819360 |
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Optimal portfolio execution under cointegrated vector autoregressive systems (English)
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15 December 2017
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portfolio execution
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execution cost
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vector autoregressive process
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cointegration
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future contract
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0.8135837316513062
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0.7999885082244873
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0.778527557849884
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0.7752004861831665
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