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

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Listed:
  • Kasper Johansson

    (Stanford University)

  • Thomas Schmelzer

    (Abu Dhabi Investment Authority)

  • Stephen Boyd

    (Stanford University)

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.

Suggested Citation

  • Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2025. "A Markowitz approach to managing a dynamic basket of moving-band statistical arbitrages," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 377-385, July.
    • Handle: RePEc:pal:assmgt:v:26:y:2025:i:4:d:10.1057_s41260-025-00405-3
    DOI: 10.1057/s41260-025-00405-3
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    References listed on IDEAS

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