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Thesis

Stochastic modeling and methods for portfolio management in cointegrated markets

Abstract:

In this thesis we study the utility maximization problem for assets whose prices are cointegrated, which arises from the investment practice of convergence trading and its special forms, pairs trading and spread trading.

The major theme in the first two chapters of the thesis, is to investigate the assumption of market-neutrality of the optimal convergence trading strategies, which is a ubiquitous assumption taken by practitioners and academics alike. This assumption lacks a theoret...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Research group:
Mathematical and Computational Finance Group
Oxford college:
St Anne's College
Role:
Author

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Role:
Supervisor
Role:
Supervisor
Publication date:
2014
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK

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