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

Kasper Johansson, Thomas Schmelzer and Stephen Boyd

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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: 2024-12
New Economics Papers: this item is included in nep-rmg
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