Selection of a portfolio of pairs based on cointegration : a statistical arbitrage strategy
Alternative title: | Seleção de uma carteira de pares de Ações usando cointegração |
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Year of publication: |
2013
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Authors: | Caldeira, João F. ; Moura, Guilherme Valle |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 11.2013, 1, p. 49-80
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Subject: | statistical arbitrage | pairs trading | cointegration | market neutral strategy | Portfolio-Management | Portfolio selection | Arbitrage | Theorie | Theory | Kointegration | Cointegration | Kapitalanlage | Financial investment | Anlageverhalten | Behavioural finance |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Zsfassung in portug. Sprache Systemvoraussetzungen: Acrobat Reader |
Source: | ECONIS - Online Catalogue of the ZBW |
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