A novel regularization-based optimization approach to sparse mean-reverting portfolios selection (Q6088537)
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scientific article; zbMATH DE number 7766646
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A novel regularization-based optimization approach to sparse mean-reverting portfolios selection |
scientific article; zbMATH DE number 7766646 |
Statements
A novel regularization-based optimization approach to sparse mean-reverting portfolios selection (English)
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16 November 2023
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financial signal processing
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mean-reversion
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sparse portfolios
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VAR(1) model
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optimization
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\(l_p\)-norm
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regularization
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