Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei - In: Annals of Finance 11 (2015) 1, pp. 37-75
We investigate optimal portfolio selection problems with mispricing and model ambiguity under a financial market which contains a pair of mispriced stocks. We assume that the dynamics of the pair satisfies a “cointegrated system” advanced by Liu and Timmermann in a 2013 manuscript. The...