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econ.EM2024
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…
econ.EM2024
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…