Liew, Jim; Roberts, Ryan - In: Risks 1 (2013) 3, pp. 162-175
In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL;<i> Quant. Financ. </i><b>2010</b>, <i>10</i>, 761–782) within the Black and Litterman framework (BL; <i>J. Fixed...</i>