Statistical Arbitrage for Multiple Co-integrated Stocks

In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors. Optimal portfolio weights are found by solving a Hamilton–Jacobi–Bellman (HJB) partial differential equation, w...

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Detalles Bibliográficos
Autores principales: Li, Thomas Nanfeng, Papanicolaou, Andrew
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9171503/
https://www.ncbi.nlm.nih.gov/pubmed/35694046
http://dx.doi.org/10.1007/s00245-022-09838-3

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9171503/
https://www.ncbi.nlm.nih.gov/pubmed/35694046
http://dx.doi.org/10.1007/s00245-022-09838-3

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