"Optimal mean-variance portfolio construction in cointegrated vector ..."

Melanie B. Rudoy, Charles E. Rohrs (2008)

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DOI: 10.1109/ACC.2008.4586868

access: closed

type: Conference or Workshop Paper

metadata version: 2020-07-09

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Melanie B. Rudoy, Charles E. Rohrs:
Optimal mean-variance portfolio construction in cointegrated vector autoregressive systems. ACC 2008: 2510-2515

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