Optimal hedging using cointegration
From MaRDI portal
Publication:4719406
DOI10.1098/rsta.1999.0416zbMath0962.91067OpenAlexW2102592663MaRDI 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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (15)
Identifying small mean-reverting portfolios ⋮ Quantile cointegrating regression ⋮ Mixed-integer programming approaches for index tracking and enhanced indexation ⋮ Robust dynamic pairs trading with cointegration ⋮ A methodology for index tracking based on time-series clustering ⋮ Dynamic cointegrated pairs trading: mean-variance time-consistent strategies ⋮ MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS ⋮ Mean-variance asset-liability management: cointegrated assets and insurance liability ⋮ Mean-variance portfolio selection of cointegrated assets ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ An efficient optimization approach for a cardinality-constrained index tracking problem ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ An evolutionary heuristic for the index tracking problem. ⋮ A hybrid optimization approach to index tracking ⋮ Optimal investment and consumption under a continuous-time cointegration model with exponential utility
This page was built for publication: Optimal hedging using cointegration
