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

Crossref DOI link: https://doi.org/10.1057/s41260-025-00405-3

Published Online: 2025-06-16

Published Print: 2025-07

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Johansson, Kasper https://orcid.org/0000-0002-9653-2516
Schmelzer, Thomas

Boyd, Stephen
Funding

Funding for this research was provided by:

Sweden-America Foundation
License Information

Text and Data Mining valid from 2025-06-16

Version of Record valid from 2025-06-16
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Article History

Revised: 23 September 2024

Accepted: 20 April 2025

First Online: 16 June 2025