Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios'...

Purpose – The purpose of this paper is to present an alternative approach to equity trading that is based on cointegration. If there are long-run equilibria among financial assets, a cointegration-based trading strategy can exploit profitable opportunities by capturing mean-reverting short-run...

This paper presents a strategy of asset allocation based on the concept of cointegration. The method used can be applied on non-stationary data and has the advantage of using the whole set of information given by the financial variables. The cointegration approach is used for the construction of...