Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (Q492113)
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scientific article; zbMATH DE number 6473792
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| English | Dynamic cointegrated pairs trading: mean-variance time-consistent strategies |
scientific article; zbMATH DE number 6473792 |
Statements
Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (English)
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19 August 2015
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cointegration
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mean-variance portfolio theory
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pair trade
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time-consistency
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0.8676285147666931
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0.8474119901657104
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0.8364363312721252
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0.8346648216247559
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0.8116217851638794
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