2 papers
q-fin.ST2023
On statistical arbitrage under a conditional factor model of equity returns
Trent Spears, Stefan Zohren, Stephen Roberts
We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space fr…
q-fin.PM2023
View fusion vis-à-vis a Bayesian interpretation of Black-Litterman for portfolio allocation
Trent Spears, Stefan Zohren, Stephen Roberts
The Black-Litterman model extends the framework of the Markowitz Modern Portfolio Theory to incorporate investor views. We consider a case where multiple view estimates, including…