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Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio
In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a factor model. Using the replicating asset in the context of statistical arbitrage has never been done before in the literatu...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7810329/ https://www.ncbi.nlm.nih.gov/pubmed/33449927 http://dx.doi.org/10.1371/journal.pone.0244541 |