There are all sorts of applications of cointegration to generating alpha on mean-reverting timeseries: comparing spot vs. futures, bond spreads, identifying mean-reverting residuals, etc.
But there is not much literature on applying co-integration to portfolio risk. Overwhelmingly, the variance-covariance matrix is used to measure and minimize portfolio risk. Cointegration imposes stricter requirements on the relationship between two time-series than mere correlation. There are also fewer false-but-useful assumptions in the variance-covariance method such as the i.i.d, homoskedasticity, and normal nature of returns.
So are there any citations in the literature that describe portfolio construction procedures for risk minimization using co-integration (or a combination of cointegration and correlation)?
I found this paper - Optimal Hedging Using Cointegration (1999) but it's more of an empirical case-study rather than a framework for thinking about risk thru the lens of cointegration.