The following research presents new properties of cointegrated time series that serve as a basis for a novel high frequency trading strategy. The expected profit of this strategy is always positive. Its practical implementation is illustrated using the daily closing prices of four world stock...

We consider portfolio allocation in which the underlying investment instruments are hedge funds. Benchmarks and conditional-value-at-risk motivate a family of utility functions involving the probability of outperforming a benchmark and expected shortfall from another benchmark. Non-normal return...