Cointegration and Long-Run Asset Allocation

DOI10.1198/JBES.2010.08062zbMath1209.91173OpenAlexW2017657619MaRDI QIDQ5392694

Ravi Bansal, Dana Kiku

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2010.08062

zbMATH Keywords

cointegrationasset allocationlong-run risks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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