A New Formulation of Pair's Portfolio Selection with First Passage Time

DOI Open Access
  • Higashide Takuo
    Nissay Asset Management Corporation Department of Industrial and Systems Engineering, Chuo University
  • Asai Kensuke
    Nissay Asset Management Corporation
  • Gotoh Jun-ya
    Department of Industrial and Systems Engineering, Chuo University
  • Fujita Takahiko
    Department of Industrial and Systems Engineering, Chuo University

Bibliographic Information

Other Title
  • 初到達時間を用いたペアポートフォリオ最適化問題の新定式化

Abstract

<p>Abstract. Pair trading is an investment strategy to earn a pro t by taking a position on two assets whose spread (i.e., prices' difference) is expected to converge to a certain level. In this paper, we propose a simple but new formulation for portfolio selection of assets' pairs on the basis of the rst passage time (FPT) of the processes of spreads. We observed that the computed efficient frontier in terms of FPT almost corresponds to the return-based efficient frontier. Besides, obtained portfolios had practically favorable features compared to the conventional single-pair trading strategy.</p>

Journal

Related Projects

See more

Keywords

Details 詳細情報について

  • CRID
    1390004222622365696
  • NII Article ID
    130007907808
  • DOI
    10.11540/jsiamt.30.3_194
  • ISSN
    24240982
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
    • KAKEN
  • Abstract License Flag
    Disallowed

Report a problem

Back to top