arXiv Open Access 2024

A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages

Kasper Johansson Thomas Schmelzer Stephen Boyd

Lihat Sumber

Abstrak

We consider the problem of managing a portfolio of moving-band statistical arbitrages (MBSAs), inspired by the Markowitz optimization framework. We show how to manage a dynamic basket of MBSAs, and illustrate the method on recent historical data, showing that it can perform very well in terms of risk-adjusted return, essentially uncorrelated with the market.

Topik & Kata Kunci

econ.EM

Penulis (3)

Kasper Johansson

Thomas Schmelzer

Stephen Boyd

Format Sitasi

APA MLA BibTeX

Johansson, K., Schmelzer, T., Boyd, S. (2024). A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages. https://arxiv.org/abs/2412.02660

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2024
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓