Kasper Johansson, Thomas Schmelzer, Stephen Boyd
arXiv 3 Dec 2024 · Econometrics · publishedJournal of Asset Management (2025)
arXiv:2412.02660 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | K. Johansson, T. Schmelzer, and S. Boyd (2023) Finding moving-band statistical arbitrages via convex-concave optimization, 2023 | 1.000 | 7 | 3 | 100% |
| 2 | R. Grinold and R. Kahn (2000) Active portfolio management | 0.811 | 4 | 2 | 100% |
| 3 | K. Johansson, M. Ogut, M. Pelger, T. Schmelzer, and S. Boyd (2023) A simple method for predicting covariance matrices of financial returns | 0.811 | 4 | 2 | 100% |
| 4 | S. Boyd, K. Johansson, R. Kahn, P. Schiele, and T. Schmelzer (2023) Markowitz portfolio construction at seventy, 2023 | 0.644 | 4 | 1 | 100% |
| 5 | G. D'avolio (2002) The market for borrowing stock | 0.644 | 2 | 2 | 100% |
| 6 | C. Geczy, D. Musto, and A. Reed (2002) Stocks are special too: An analysis of the equity lending market | 0.644 | 2 | 2 | 100% |
| 7 | M. Avellaneda and J. Lee (2010) Statistical arbitrage in the US equities market | 0.511 | 2 | 1 | 100% |
| 8 | E. Gatev, W. Goetzmann, and G. Rouwenhorst (2006) Pairs trading: Performance of a relative-value arbitrage rule | 0.511 | 2 | 1 | 100% |
| 9 | S. Boyd and L. Vandenberghe (2004) Convex optimization | 0.405 | 1 | 1 | 100% |
| 10 | R. Engle (2002) Dynamic conditional correlation | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 45 scored citations.