Optimal hedging using cointegration

DOI10.1098/RSTA.1999.0416MaRDI QIDQ4719406zbMATH OpenOpenAlexFDO

Authors

Publication date 4 January 2000

Published in Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1098/rsta.1999.0416

zbMATH Keywords

cointegrationfinancial marketshedgingindex trackingtime-series modelling

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(21)

• Optimal dynamic hedging via copula-threshold-GARCH models
• A hybrid optimization approach to index tracking
• An evolutionary heuristic for the index tracking problem.
• Mean-variance asset-liability management: cointegrated assets and insurance liability
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Robust dynamic pairs trading with cointegration
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy
• An efficient optimization approach for a cardinality-constrained index tracking problem
• Basket trading under co-integration with the logistic mixture autoregressive model
• Quantile cointegrating regression
• Identifying small mean-reverting portfolios
• A methodology for index tracking based on time-series clustering
• Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
• Time-consistent mean-variance pairs-trading under regime-switching cointegration
• Does quantile co-integration exist between gold spot and futures prices?
• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Optimal investment and consumption under a continuous-time cointegration model with exponential utility
• Mean-variance portfolio selection of cointegrated assets
• Long-range dependent mortality modeling with cointegration
• Model-free analysis of dynamic trading strategies

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