{"id":12546,"date":"2009-01-01T00:00:00","date_gmt":"2009-01-01T08:00:00","guid":{"rendered":"https:\/\/www.hmc.edu\/clinic\/2009\/optimizing-pairs-trading-portfolios\/"},"modified":"2009-01-01T00:00:00","modified_gmt":"2009-01-01T08:00:00","slug":"optimizing-pairs-trading-portfolios","status":"publish","type":"post","link":"https:\/\/www.hmc.edu\/clinic\/2009\/optimizing-pairs-trading-portfolios\/","title":{"rendered":"Optimizing Pairs Trading Portfolios"},"content":{"rendered":"<h2 class=\"project-sponsor-dept-year\"><span class=\"project-sponsor\">Citadel Investment Group<\/span> <span class=\"project-dept-year\">Mathematics, 2008-09<\/span><\/h2>\n<div class=\"project-team\">\n<p><strong>Liaison(s):<\/strong> Michael Schubmehl &#8217;02<br \/>\n<strong>Advisor(s):<\/strong> Francis Su<br \/>\n<strong>Students(s):<\/strong> Brett Cooper (PM-S),  Chris Fox,  Denis Aleshin (J),  Joshua Klontz (J),  Bryce Lampe (J),  Maria Pavloskaia (PM-F)<\/p>\n<\/div>\n<div class=\"project-abstract\">\n<p>We studied a method of statistical arbitrage known as pairs trading, and developed an automated strategy for quantitatively constructing a portfolio of pairs that attempts to minimize risk while maximizing expected returns. Our work builds on the research done by the 2007-2008 Pairs Trading Clinic Team. While last year&#8217;s focus was to implement a basic pairs trading strategy and optimize parameters, this year&#8217;s emphasis is on controlling risk.<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Citadel Investment Group Mathematics, 2008-09 Liaison(s): Michael Schubmehl &#8217;02 Advisor(s): Francis Su Students(s): Brett Cooper (PM-S), Chris Fox, Denis Aleshin [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[185],"tags":[429],"class_list":["post-12546","post","type-post","status-publish","format-standard","hentry","category-mathematics","tag-citadel-investment-group"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts\/12546","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/comments?post=12546"}],"version-history":[{"count":0,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts\/12546\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/media?parent=12546"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/categories?post=12546"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/tags?post=12546"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}