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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Bibliographic Details

Published in:	Optimization and engineering Vol. 26; no. 2; pp. 1203 - 1224
Main Authors:	Johansson, Kasper, Schmelzer, Thomas, Boyd, Stephen
Format:	Journal Article
Language:	English
Published:	Dordrecht Springer Nature B.V 01.06.2025
Subjects:	Asset acquisitions Convexity Machine learning Optimization Prices Profits Stochastic control theory Time series
ISSN:	1389-4420, 1573-2924
Online Access:	Get full text
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