Before revision: The present paper aims to provide a systematic study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining explicit closed-form optimal strategies which are both easily interpretable and computationally implementable in a high-dimensional setting.
After revision: The present paper aims to provide a systematic study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both easily interpretable and computationally implementable in a high-dimensional setting.