Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment.
Alessia NaccaratoAndrea PieriniGiovanna FerraroPublished in: Ann. Oper. Res. (2021)
Keyphrases
- portfolio optimization
- sharpe ratio
- long term
- portfolio management
- stock exchange
- investment strategies
- stock market
- investment decisions
- short term
- portfolio selection
- trading strategies
- factor analysis
- stock price
- problems involving
- robust optimization
- optimization methods
- bi objective
- financial markets
- risk management
- multi objective
- financial data
- decision making