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

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  • Kasper Johansson
  • Thomas Schmelzer
  • Stephen Boyd

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.

Suggested Citation

  • Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024. "A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages," Papers 2412.02660, arXiv.org.
    • Handle: RePEc:arx:papers:2412.02660
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    References listed on IDEAS

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