Finding moving-band statistical arbitrages via convex–concave optimization

We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band and a leverage limit. This optimization problem is not convex,...

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Vydané v:	Optimization and engineering Ročník 26; číslo 2; s. 1203 - 1224
Hlavní autori:	Johansson, Kasper, Schmelzer, Thomas, Boyd, Stephen
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Dordrecht Springer Nature B.V 01.06.2025
Predmet:	Asset acquisitions Convexity Machine learning Optimization Prices Profits Stochastic control theory Time series
ISSN:	1389-4420, 1573-2924
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