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dc.contributor.authorFiguerola Ferretti Garrigues, Isabel Catalinaes-ES
dc.contributor.authorTang, Taoes-ES
dc.contributor.authorSerrano, Pedroes-ES
dc.contributor.authorVaello, Antonies-ES
dc.date.accessioned2016-05-24T08:42:08Z
dc.date.available2016-05-24T08:42:08Z
dc.identifier.urihttp://hdl.handle.net/11531/8035
dc.description.abstract----es-ES
dc.description.abstractPairs trading strategies exploit temporary deviations from long term equilibrium relationships. This article analyzes the performance of pair-trading strategies from a portfolio perspective. We construct pairs trading portfolios with dynamic triggers. Our results exhibit a superior performance of pair-trading portfolio against standard pairs-trading strategies and simple buy-and-hold investments of the benchmark market index in terms of Sharpe ratioen-GB
dc.format.mimetypeapplication/pdfes_ES
dc.language.isoen-GBes_ES
dc.rightses_ES
dc.rights.uries_ES
dc.titleSupercointegratedes_ES
dc.typeinfo:eu-repo/semantics/workingPaperes_ES
dc.description.versioninfo:eu-repo/semantics/draftes_ES
dc.rights.holderPrimera versión a presentar en el Foro de Finanzas 2016es_ES
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccesses_ES
dc.keywordsCointegration, Pairs Trading, Ratio de Sharpees-ES
dc.keywordsCointegration, Pairs Trading, Sharpe Ratioen-GB


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