Optimal Portfolios of Mean-Reverting Instruments (Q5388684)
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scientific article; zbMATH DE number 6025781
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Portfolios of Mean-Reverting Instruments |
scientific article; zbMATH DE number 6025781 |
Statements
Optimal Portfolios of Mean-Reverting Instruments (English)
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19 April 2012
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mean-reverting process
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portfolio optimization
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quantile
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capital at risk
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