Sparse, mean reverting portfolio selection using simulated annealing

DOI10.3233/AF-13026zbMath1290.91146OpenAlexW3124101308MaRDI QIDQ5420718

Norbert Fogarasi, Janos Levendovszky

Publication date: 13 June 2014

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-13026

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (3)

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 ⋮ Efficient computation of mean reverting portfolios using cyclical coordinate descent

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