Mean-variance portfolio selection of cointegrated assets

By Mei Choi Chiu, Hoi Ying Wong. 2011

91 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6febc3349b6f8f9938c9be382f4dcdbb4db58c54

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. Tourin
2. Yang Shen
3. Jiaqin Wei
4. P. Lintilhac

In Finance

1. A. Tourin
2. Yang Shen
3. Jiaqin Wei
4. P. Lintilhac
5. Andrew Urquhart
6. Emmanouil Platanakis

Citations in the corpus

• Model-based pairs trading in the bitcoin markets (2017, methodology): “…been considered: among others, a static mean-variance approach based on the cointegration model by Duan and Pliska (2004), has been developed by Chiu and Wong (2011) whileAvellaneda and Lee (2010) provided an empirical study for beta-neutral pairs trading portfolio strategies in the US…”
• Optimal investment-consumption-insurance with random parameters (2016, background): “(53) Indeed, this is related to the continuous-time, cointegrated asset price model considered in Chiu & Wong (2011).”