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ArticleMean–variance portfolio selection of cointegrated assets

Mei Choi Chiu2011

Article2011

Mean–variance portfolio selection of cointegrated assets

Mei Choi Chiu · Hoi Ying Wong

92 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1952Portfolio Selection 1981Some properties of time series data and their use in econometric model specification 1990When Are Contrarian Profits Due to Stock Market Overreaction?2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation 1989Common Stochastic Trends in a System of Exchange Rates 1976Linear Quadratic Optimal Stochastic Control with Random Coefficients

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2012Mean–variance asset–liability management: Cointegrated assets and insurance liabilityarticle · 11 shared references 2015Dynamic cointegrated pairs trading: Mean–variance time-consistent strategiesarticle · 9 shared references 2012Optimal investment for an insurer with cointegrated assets: CRRA utilityarticle · 8 shared references 2012Mean-variance principle of managing cointegrated risky assets and random liabilitiesarticle · 8 shared references 2019Optimal investment and consumption under a continuous-time cointegration model with exponential utilityarticle · 7 shared references 2004Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Marketarticle · 5 shared references

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Year2011

Typearticle

Published2011-04-20

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations92

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2011.04.003

openalex_workW1978521713

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2015

Mean–variance portfolio selection in a complete market with unbounded random coefficients

2014Optimal investment-consumption-insurance with random parameters

2016Mean–variance asset–liability management under constant elasticity of variance process