Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance

DOI10.1109/TSP.2019.2893862zbMath1415.94307OpenAlexW2912400541WikidataQ128509029 ScholiaQ128509029MaRDI QIDQ4631459

Ziping Zhao, Rui Zhou, Daniel P. Palomar

Publication date: 29 March 2019

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

Full work available at URL: https://doi.org/10.1109/tsp.2019.2893862

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

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