Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
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Publication:2241057
DOI10.1007/s10479-019-03225-yzbMath1477.62302OpenAlexW2939530164MaRDI QIDQ2241057
Andrea Pierini, Giovanna Ferraro, Alessia Naccarato
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03225-y
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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