Mean-variance portfolio selection of cointegrated assets
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Publication:550847
DOI10.1016/j.jedc.2011.04.003zbMath1217.91166OpenAlexW1978521713WikidataQ58980991 ScholiaQ58980991MaRDI QIDQ550847
Publication date: 13 July 2011
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.04.003
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Portfolio theory (91G10)
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