A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
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Publication:6088537
DOI10.1007/s11081-022-09784-7zbMath1527.91152OpenAlexW4318191623MaRDI QIDQ6088537
Mohamed Et-tolba, Somaya Sadik, Benayad Nsiri
Publication date: 16 November 2023
Published in: Optimization and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11081-022-09784-7
optimizationregularizationmean-reversion\(l_p\)-normVAR(1) modelsparse portfoliosfinancial signal processing
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