Mean-variance portfolio selection of cointegrated assets
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Cites work
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- Asset and liability management under a continuous-time mean-variance optimization framework
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- Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex Programming and Duality in Normed Space
- Dynamic asset allocation with mean variance preferences and a solvency constraint
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- Matrix Riccati equations in control and systems theory
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- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal hedging using cointegration
- Option valuation with co-integrated asset prices
- Stochastic Hamilton–Jacobi–Bellman Equations
- Stochastic linear quadratic optimal control problems with random coefficients
Cited in
(54)- Dynamic asset-liability management in a Markov market with stochastic cash flows
- scientific article; zbMATH DE number 7295761 (Why is no real title available?)
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- A note on optimal investment-consumption-insurance in a Lévy market
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- scientific article; zbMATH DE number 1539032 (Why is no real title available?)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- A mean/variance approach to long-term fixed-income portfolio allocation
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- Analysis of portfolio diversification between REIT assets
- High-dimensional statistical arbitrage with factor models and stochastic control
- Cointegration and long-run asset allocation
- Pairs trading under delayed cointegration
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Pairs trading with illiquidity and position limits
- Proper Conditioning for Coherent VaR in Portfolio Management
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Robust tracking error portfolio selection with worst-case downside risk measures
- Portfolio selection with exploration of new investment assets
- Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
- Costly arbitrage through pairs trading
- Sparse vector error correction models with application to cointegration‐based trading
- Algorithmic trading of co-integrated assets
- Commodity derivatives pricing with cointegration and stochastic covariances
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
- A continuous-time theory of reinsurance chains
- Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- scientific article; zbMATH DE number 5008179 (Why is no real title available?)
- Equilibrium pairs trading under delayed cointegration
- Robust dynamic pairs trading with cointegration
- Optimal investment-consumption-insurance with random parameters
- Optimal pairs trading strategies: a stochastic mean-variance approach
- Optimal convergence trading with unobservable pricing errors
- Mean-variance asset-liability management under constant elasticity of variance process
- Model-based pairs trading in the bitcoin markets
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- Optimal dynamic basis trading
- Mean-variance portfolio selection with correlation risk
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
- On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
- Dynamic portfolio choice with return predictability and transaction costs
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Basket trading under co-integration with the logistic mixture autoregressive model
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Optimal portfolio execution under cointegrated vector autoregressive systems
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