Optimal mean-variance portfolio construction in cointegrated vector autoregressive systems. - Melanie B. Rudoy; Charles E. Rohrs (ACC, 2008)

A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems. - Melanie B. Rudoy; Charles E. Rohrs (CDC, 2008)

Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems. - Melanie B. Rudoy (2009)