A Diversification Framework for Multiple Pairs Trading Strategies
We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on the statistical characteristics of the historical s...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-05-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/5/93 |