Optimal Portfolios of Mean-Reverting Instruments

DOI10.1137/100787714zbMath1236.91125OpenAlexW1971110856MaRDI QIDQ5388684

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

portfolio optimizationquantilemean-reverting processcapital at risk

Mathematics Subject Classification ID

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

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