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Found 4 papers, 4 papers with code
Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair.
Markowitz Portfolio Construction at Seventy
More than seventy years ago Harry Markowitz formulated portfolio construction as an optimization problem that trades off expected return and risk, defined as the standard deviation of the portfolio returns.
A Simple Method for Predicting Covariance Matrices of Financial Returns
We also test covariance predictors on downstream applications such as portfolio optimization methods that depend on the covariance matrix.
Multi-armed Bandit Learning on a Graph
The graph defines the agent's freedom in selecting the next available nodes at each step.
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