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<p>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.</p>

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

  • 期刊论文

  • 发表日期：

    2025年6月16日

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  • Kasper Johansson,
  • Thomas Schmelzer,
  • Stephen Boyd

摘要

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.