Optimal Portfolios of Mean-Reverting Instruments

In this paper we investigate portfolios consisting of instruments whose logarithms are mean-reverting. Under the assumption that portfolios are constant, we derive analytic expressions for the expected wealth and the quantile-based risk measure capital at risk. Assuming that short-selling and borrow...

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Veröffentlicht in:	SIAM journal on financial mathematics 2011-01, Vol.2 (1), p.748-767
Hauptverfasser:	Dmitrašinović-Vidović, Gordana, Ware, Antony
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied mathematics Borrowing Expected values Interest rates Investigations Laboratories Optimization Portfolio performance Random variables Short sales Utility functions
Online-Zugang:	Volltext
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