Optimal hedging using cointegration

DOI10.1098/rsta.1999.0416zbMath0962.91067MaRDI QIDQ4719406

No author found.

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

hedging; cointegration; financial markets; index tracking; time-series modelling

Mathematics Subject Classification ID

91B84: Economic time series analysis

Related Items

A methodology for index tracking based on time-series clustering, Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration, MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS, Optimal investment and consumption under a continuous-time cointegration model with exponential utility, Quantile cointegrating regression, Dynamic cointegrated pairs trading: mean-variance time-consistent strategies, Mean-variance portfolio selection of cointegrated assets, 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, An efficient optimization approach for a cardinality-constrained index tracking problem, Identifying small mean-reverting portfolios