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arXiv · 2412.02660

A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages

Kasper Johansson·Thomas Schmelzer·Stephen Boyd
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Abstract

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 basket of MBSAs, and illustrate the method on recent historical data, showing that it can perform very well in terms of risk-adjusted return, essentially uncorrelated with the market.

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Kasper Johansson, Thomas Schmelzer, Stephen Boyd. 2024-12-03. A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages. https://arxiv.org/abs/2412.02660

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