3 citations · 5 across the 4 of their papers we have counts for
3 papers · 1 filter
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…
A Simple Method for Predicting Covariance Matrices of Financial Returns
Kasper Johansson, Mehmet Giray Ogut, Markus Pelger +2
We consider the well-studied problem of predicting the time-varying covariance matrix of a vector of financial returns. Popular methods range from simple predictors like rolling wi…