2 citations · 2 across the 3 of their papers we have counts for
3 papers
A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
Kasper Johansson, Thomas Schmelzer, Stephen Boyd
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 bas…
Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
Kasper Johansson, Thomas Schmelzer, Stephen Boyd
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the hig…
Markowitz Portfolio Construction at Seventy
Stephen Boyd, Kasper Johansson, Ronald Kahn +2
More than seventy years ago Harry Markowitz formulated portfolio construction as an optimization problem that trades off expected return and risk, defined as the standard deviation…