Pages that link to "Item:Q2288638"

The following pages link to Sparse mean-reverting portfolios via penalized likelihood optimization (Q2288638):

Displaying 8 items.

• Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios (Q1635895) (← links)
• Sparse mean-reverting portfolios via penalized likelihood optimization (Q2288638) (← links)
• Constructing optimal sparse portfolios using regularization methods (Q2355718) (← links)
• Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios (Q2898811) (← links)
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547) (← links)
• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (Q6079984) (← links)
• Equilibrium multi-agent model with heterogeneous views on fundamental risks (Q6192948) (← links)
• Financial time series analysis and forecasting with Hilbert-Huang transform feature generation and machine learning (Q6579697) (← links)