摘要 : 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 so... 展开
作者 | Li~ Thomas Nanfeng Papanicolaou~ Andrew |
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作者单位 | |
期刊名称 | 《Applied mathematics and optimization》 |
总页数 | 38 |
语种/中图分类号 | 英语 / O224 |
关键词 | Co-integrated stocks Eigenportfolio Factor model Market-neutral portfolio Matrix Riccati equation Optimisation Statistical arbitrage Stochastic control OPTIMAL INVESTMENT COINTEGRATION MATRIX RISK |
馆藏号 | N2008EPST0000474 |