Mean-Reverting Portfolio With Budget Constraint

DOI10.1109/TSP.2018.2799193zbMath1414.91358arXiv1701.05016OpenAlexW2582533304MaRDI QIDQ4622123

Ziping Zhao, Daniel P. Palomar

Publication date: 12 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.05016

Mathematics Subject Classification ID

Portfolio theory (91G10)

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