A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| _version_ | 1866912142479851520 |
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| author | Johansson, Kasper Schmelzer, Thomas Boyd, Stephen |
| author_facet | Johansson, Kasper Schmelzer, Thomas Boyd, Stephen |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_02660 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages Johansson, Kasper Schmelzer, Thomas Boyd, Stephen Econometrics 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. |
| title | A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages |
| topic | Econometrics |
| url | https://arxiv.org/abs/2412.02660 |