2024/12/03 by Kasper Johansson, Johansson, Kasper, Thomas M. Schmelzer +3
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Credit Risk and Financial Regulations
paper · pdf · doi:10.48550/arxiv.2412.02660
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.