Identifying small mean-reverting portfolios

Quantitative Finance

Volumn 11, Issue 3, 2011, Pages 351-364

  D'aspremont, Alexandre ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Derivatives hedging; Derivatives pricing; Derivatives risk management; Derivatives securities

Indexed keywords

EID: 79951626627     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2010.481634     Document Type: Article

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