Optimal portfolios of mean-reverting instruments

DOI10.1137/100787714MaRDI QIDQ5388684zbMATH OpenOpenAlexFDO

Authors Gordana Dmitrasinovic-Vidovic, Antony Ware

Publication date 19 April 2012

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100787714

zbMATH Keywords

capital at riskmean-reverting processportfolio optimizationquantile

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(7)

• Portfolio management with benchmark related incentives under mean reverting processes
• Optimal strategies with option compensation under mean reverting returns or volatilities
• Mixed-asset portfolio allocation under mean-reverting asset returns
• Inverse portfolio problem with mean-deviation model
• A quantile game for portfolio construction in the Ornstein-Uhlenbeck model
• Minimum risk portfolios using MMAR
• Portfolio selection with contrarian strategy

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