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I am implementing a strategy similar to Marco Avellaneda's paper "Statistical Arbitrage in US equities market". I am kind of stuck in the hedging part. In the case of Eigenportfolios, my question is: do I have to hedge with the Eigenportfolio itself, i.e. investing beta*Qs acording to the Qs of the stocks that compose each Eigenportfolio?
Thanks,
Thanks,
