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Supercointegrated
dc.contributor.author | Figuerola Ferretti Garrigues, Isabel Catalina | es-ES |
dc.contributor.author | Tang, Tao | es-ES |
dc.contributor.author | Serrano, Pedro | es-ES |
dc.contributor.author | Vaello, Antoni | es-ES |
dc.date.accessioned | 2016-05-24T08:42:08Z | |
dc.date.available | 2016-05-24T08:42:08Z | |
dc.identifier.uri | http://hdl.handle.net/11531/8035 | |
dc.description.abstract | ---- | es-ES |
dc.description.abstract | Pairs 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 ratio | en-GB |
dc.format.mimetype | application/pdf | es_ES |
dc.language.iso | en-GB | es_ES |
dc.rights | es_ES | |
dc.rights.uri | es_ES | |
dc.title | Supercointegrated | es_ES |
dc.type | info:eu-repo/semantics/workingPaper | es_ES |
dc.description.version | info:eu-repo/semantics/draft | es_ES |
dc.rights.holder | Primera versión a presentar en el Foro de Finanzas 2016 | es_ES |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | es_ES |
dc.keywords | Cointegration, Pairs Trading, Ratio de Sharpe | es-ES |
dc.keywords | Cointegration, Pairs Trading, Sharpe Ratio | en-GB |
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