Mean-variance portfolio selection of cointegrated assets
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Publication:550847
DOI10.1016/J.JEDC.2011.04.003zbMATH Open1217.91166OpenAlexW1978521713WikidataQ58980991 ScholiaQ58980991MaRDI QIDQ550847FDOQ550847
Authors: Mei Choi Chiu, Hoi Ying Wong 
Publication date: 13 July 2011
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.04.003
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Financial applications of other theories (91G80)
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Cited In (54)
- Portfolio selection with exploration of new investment assets
- Sparse vector error correction models with application to cointegration‐based trading
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
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- Title not available (Why is that?)
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- A note on optimal investment-consumption-insurance in a Lévy market
- A mean/variance approach to long-term fixed-income portfolio allocation
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- High-dimensional statistical arbitrage with factor models and stochastic control
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Analysis of portfolio diversification between REIT assets
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- 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
- Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
- Algorithmic trading of co-integrated assets
- Costly arbitrage through pairs trading
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Commodity derivatives pricing with cointegration and stochastic covariances
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- 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
- Title not available (Why is that?)
- 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
- Dynamic asset-liability management in a Markov market with stochastic cash flows
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