Cointegrated market-neutral strategy for basket trading
Philip L.H. Yu, Renjie Lu
| Year of publication: |
May 2017
|
|---|---|
| Authors: | Yu, Philip L. H. ; Lu, Renjie |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 49.2017, p. 112-124
|
| Subject: | Basket trading | Pairs trading | Cointegration | Market neutral | Portfolio-Management | Portfolio selection | Kointegration | Theorie | Theory | Anlageverhalten | Behavioural finance | Kapitalanlage | Financial investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2017.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011748382