Super-replication of the best pairs trade in hindsight
Year of publication: |
2019
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Authors: | Garivaltis, Alex |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 7.2019, 1, p. 1-14
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Subject: | super-replication | pairs trading | correlation options | constant-rebalanced portfolios | universal portfolios | kelly criterion | robust procedures | minimax | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging | Anlageverhalten | Behavioural finance |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2019.1568657 [DOI] hdl:10419/245196 [Handle] |
Classification: | C44 - Statistical Decision Theory; Operations Research ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D83 - Search, Learning, Information and Knowledge ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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