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Mean–variance portfolio selection of cointegrated assets
Mei Choi CHIU
, Hoi Ying WONG
Department of Mathematics and Information Technology (MIT)
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peer-review
55
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Business & Economics
Mean Reversion
Portfolio Selection
Continuous Time
Asset Prices
Statistical Arbitrage
Pairs Trading
Financial Markets
Assets
Efficient Frontier
Price Dynamics
Error Correction Model
Discrete-time
Cointegration
Paradigm
Profit
Mathematics
Portfolio Selection
Mean Reversion
Continuous Time
Error Correction Model
Efficient Frontier
Cointegration
Arbitrage
Diffusion Limit
Financial Markets
Profit
Paradigm
Policy
Time series
Closed-form
Discrete-time
Numerical Examples
Engineering & Materials Science
Financial markets
Error correction
Profitability
Time series