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Pairs Trading: Performance of a Relative-Value Arbitrage Rule

โœ Scribed by Gatev, Evan; Goetzmann, William N.; Rouwenhorst, K. Geert

Book ID
121357702
Publisher
Oxford University Press
Year
2006
Tongue
English
Weight
342 KB
Volume
19
Category
Article
ISSN
0893-9454

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โœ Hans Dewachter; Marco Lyrio ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 923 KB

We adapt Brandt's (1999) nonparametric approach to determine the optimal portfolio choice of a risk averse foreign exchange investor who uses moving average trading signals as the information instrument for investment opportunities. Additionally, we assess the economic value of the estimated optimal