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"Optimal Portfolios of Mean-Reverting Instruments."

Gordana Dmitrasinovic-Vidovic, Antony Ware (2011)

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DOI: 10.1137/100787714

access: closed

type: Journal Article

metadata version: 2017-05-17

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Gordana Dmitrasinovic-Vidovic, Antony Ware:
Optimal Portfolios of Mean-Reverting Instruments. SIAM J. Financial Math. 2(1): 748-767 (2011)

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