Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios

DOI10.1007/s10915-017-0578-5zbMath1458.62248OpenAlexW2766564296MaRDI QIDQ1635895

Xiaolong Long, Knut Sølna, Jack X. Xin

Publication date: 1 June 2018

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-017-0578-5

zbMATH Keywords

mean reversionsparse estimation\(l_1\) and \(l_2\) normsconvergence trading

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonconvex programming, global optimization (90C26) Quadratic programming (90C20)

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A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints

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