Before revision: The present paper aims to provide the first systematic study of high-dimensional statistical arbitrage using both factor models and tools from stochastic control theory, obtaining closed-form optimal strategies in most cases and extending in multiple new directions the existing literature .
After revision: The present paper aims to provide the first systematic study of high-dimensional statistical arbitrage using both factor models and tools from stochastic control theory, obtaining closed-form optimal strategies which are both easily interpretable and computationally implementable in a high-dimensional setting .