Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization

Fuente: arXiv

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Bibliographic Details
Main Authors:	Johansson, Kasper, Schmelzer, Thomas, Boyd, Stephen
Format:	Preprint
Published:	2024
Subjects:	Econometrics Machine Learning Portfolio Management
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2402.08108