Pages that link to "Item:Q1635895"
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The following pages link to Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios (Q1635895):
Displaying 5 items.
- Construction, management, and performance of sparse Markowitz portfolios (Q905387) (← links)
- Sparse mean-reverting portfolios via penalized likelihood optimization (Q2288638) (← links)
- Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios (Q2898811) (← links)
- Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection (Q5882243) (← links)
- A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (Q6079984) (← links)