Pages that link to "Item:Q2898811"
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The following pages link to Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios (Q2898811):
Displaying 5 items.
- PAMR: passive aggressive mean reversion strategy for portfolio selection (Q420935) (← links)
- Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios (Q1635895) (← links)
- Sparse mean-reverting portfolios via penalized likelihood optimization (Q2288638) (← links)
- Sparse vector error correction models with application to cointegration‐based trading (Q6081857) (← links)
- A novel regularization-based optimization approach to sparse mean-reverting portfolios selection (Q6088537) (← links)