Optimal portfolio execution under cointegrated vector autoregressive systems

DOI10.1080/02331934.2017.1287911MaRDI QIDQ4598844zbMATH OpenOpenAlexFDO

Authors Arti Singh

Publication date 15 December 2017

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2017.1287911

zbMATH Keywords

cointegrationexecution costfuture contractportfolio executionvector autoregressive process

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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(6)

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• Algorithmic trading of co-integrated assets
• Portfolio optimization for cointelated pairs: SDEs vs Machine learning
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• Sparse vector error correction models with application to cointegration‐based trading

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