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Mean-Reverting Portfolio With Budget Constraint · Study

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ArticleMean-Reverting Portfolio With Budget Constraint

Ziping Zhao2018

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Articlegreen2018

Mean-Reverting Portfolio With Budget Constraint

Ziping Zhao · Daniel P. Palomar

39 citations·0/0 files stored·IEEE Transactions on Signal Processing

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stock Market Forecasting Methods

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1952PORTFOLIO SELECTION*1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Year2018

Typearticle

Published2018-01-01

VenueIEEE Transactions on Signal Processing

ISSN-L1053-587X

Languageen

Citations39

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1109/tsp.2018.2799193

openalex_workW2582533304

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