Identifying small mean-reverting portfolios
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Publication:3169214
DOI10.1080/14697688.2010.481634zbMath1232.91701arXiv0708.3048OpenAlexW2142141874MaRDI QIDQ3169214
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.3048
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)
Related Items (10)
The sparse principal component analysis problem: optimality conditions and algorithms ⋮ Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios ⋮ Dynamic mode decomposition for financial trading strategies ⋮ A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints ⋮ A novel regularization-based optimization approach to sparse mean-reverting portfolios selection ⋮ PCA Sparsified ⋮ MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS ⋮ Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations ⋮ Sparse mean-reverting portfolios via penalized likelihood optimization ⋮ Efficient computation of mean reverting portfolios using cyclical coordinate descent
Uses Software
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