39 citations · 52 across the 10 of their papers we have counts for
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q-fin.PM2018★ 2 cited
Optimal Portfolio Design for Statistical Arbitrage in Finance
Ziping Zhao, Rui Zhou, Zhongju Wang +1
In this paper, the optimal mean-reverting portfolio (MRP) design problem is considered, which plays an important role for the statistical arbitrage (a.k.a. pairs trading) strategy…
q-fin.PM2017★ 39 cited
Mean-Reverting Portfolio Design with Budget Constraint
Ziping Zhao, Daniel P. Palomar
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed a…
q-fin.PM2016
Mean-Reverting Portfolio Design via Majorization-Minimization Method
Ziping Zhao, Daniel P. Palomar
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. The problem is formulated by optimizing a criterion ch…