Risk control of mean-reversion time in statistical arbitrage
Year of publication: |
2017
|
---|---|
Authors: | Yeo, Joongyeub ; Papanicolaou, George |
Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 6.2017, 4, p. 263-290
|
Subject: | Mean-reversion time | statistical arbitrage | portfolio selection | market neutrality | principal components | factor models | residuals | Portfolio-Management | Portfolio selection | Arbitrage | Theorie | Theory | Statistische Methode | Statistical method |
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