A stochastic-control framework yields optimal statistical arbitrage portfolios for multiple co-integrated stocks, with stability guarantees for risk-averse investors and backtests showing high sensitivity to parameter estimation.
Stochastic modeling and methods for portfolio management in cointegrated markets
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Statistical Arbitrage for Multiple Co-Integrated Stocks
A stochastic-control framework yields optimal statistical arbitrage portfolios for multiple co-integrated stocks, with stability guarantees for risk-averse investors and backtests showing high sensitivity to parameter estimation.