"Markowitz portfolio optimization through pairs trading cointegrated ..."

Alessia Naccarato, Andrea Pierini, Giovanna Ferraro (2021)

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DOI: 10.1007/S10479-019-03225-Y

access: closed

type: Journal Article

metadata version: 2021-04-29

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Alessia Naccarato, Andrea Pierini, Giovanna Ferraro:
Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment. Ann. Oper. Res. 299(1): 81-99 (2021)

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