A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
Econometrics
2024-12-04 v1
Abstract
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.
Keywords
Cite
@article{arxiv.2412.02660,
title = {A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages},
author = {Kasper Johansson and Thomas Schmelzer and Stephen Boyd},
journal= {arXiv preprint arXiv:2412.02660},
year = {2024}
}