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Quantitative Portfolio Management
The art and science of statistical arbitrage
Michael Isichenko
Copyright © 2021 by Michael Isichenko. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 750-4470, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/permission.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.
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Library of Congress Cataloging-in-Publication Data
Names: Isichenko, Michael, author.
Title: Quantitative portfolio management : the art and science of statistical arbitrage / Michael Isichenko.
Description: Hoboken, New Jersey : John Wiley & Sons, Inc., [2021] | Includes bibliographical references and index.
Identifiers: LCCN 2021013923 (print) | LCCN 2021013924 (ebook) | ISBN 9781119821328 (cloth) | ISBN 9781119821229 (adobe pdf) | ISBN 9781119821212 (epub)
Subjects: LCSH: Portfolio management—Mathematical models. | Arbitrage.
Classification: LCC HG4529.5 .I83 2021 (print) | LCC HG4529.5 (ebook) | DDC 332.6—dc23
LC record available at https://lccn.loc.gov/2021013923
LC ebook record available at https://lccn.loc.gov/2021013924
Cover Design: Wiley
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