A Markowitz approach to managing a dynamic basket of moving-band statistical arbitrages

Kasper Johansson (), Thomas Schmelzer and Stephen Boyd
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Kasper Johansson: Stanford University
Thomas Schmelzer: Abu Dhabi Investment Authority
Stephen Boyd: Stanford University

Journal of Asset Management, 2025, vol. 26, issue 4, No 3, 377-385

Abstract: 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.

Date: 2025
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DOI: 10.1057/s41260-025-00405-3

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