(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio.We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

employed in this study to construct globally invested portfolios is based on cointegration analysis. The forecast period covers … 11 years. All constructed portfolios show a strong cointegration relationship with the benchmark in the back … ; cointegration ; portfolio optimization …

multi-period, cointegration-based hedging method that estimates the holdings that are most likely to deliver a hedging error …

given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of … be affine in the co-integration factor. We calibrate the model to three assets traded on the Nasdaq exchange (Google …

cointegration models. Empirical identification of cointegration effects is generally made according to discrete-time error … dynamic portfolio problem under a class of path-dependent models embracing path-dependent cointegration models in continuous … process satisfies cointegration conditions, our results lead to the optimal dynamic pairs-trading rule. By contrasting our …

Cointegration analysis is an econometric tool used to identify equilibrium among assets and construct a pairs trading … portfolio. The discrete-time vector error correction model (VECM) for identifying cointegration includes lag difference terms as … trading strategy under such a delayed cointegration model. The existence and uniqueness results for the equilibrium are …

retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration … relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …