Optimal hedging and spreading in cointegrated markets

DOI10.1016/0165-1765(92)90250-3MaRDI QIDQ2366935zbMATH OpenOpenAlexWikidataFDO

Authors Da-Hsiang Donald Lien

Publication date 23 August 1993

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90250-3

Mathematics Subject Classification ID

Economic growth models (91B62)

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing

Cited in

(1)

• Optimal spreading when spreading is optimal

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