Mean–variance portfolio selection of cointegrated assets

Keyphrases

• Continuous-time 100%
• Portfolio Optimization 100%
• Mean Reversion 100%
• Copyright 50%
• Financial Markets 50%
• Discrete-time 50%
• Efficient Frontier 50%
• Cointegrated Time Series 50%
• Diffusion Limit 50%
• Error Correction Model 50%
• Closed-form Formula 50%
• Portfolio Policy 50%
• Analytical Results 50%
• Statistical Arbitrage 50%
• Pairs Trading 50%
• Asset Prices 50%
• Numerical Examples 50%
• Arbitrage Profits 50%
• Asset Price Dynamics 50%
• Long-run Equilibrium 50%
• State of the Economy 50%
• Cointegration Model 50%
• Theory in Practice 50%

Economics, Econometrics and Finance

• Continuous Time 100%
• Portfolio Selection 100%
• Mean Reversion 100%
• Financial Market 50%
• Time Series 50%
• Arbitrage 50%