Risk control of mean-reversion time in statistical arbitrage
From MaRDI portal
Publication:3119660
DOI10.3233/RDA-170132zbMath1409.91223MaRDI QIDQ3119660
Joongyeub Yeo, George S. Papanicolaou
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
principal components; portfolio selection; residuals; factor models; statistical arbitrage; market neutrality; mean-reversion time
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G10: Portfolio theory
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