Identifying small mean-reverting portfolios (Q3169214): Difference between revisions

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+Optimal hedging using cointegration
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+Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
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+A canonical analysis of multiple time series
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+Consumption and Portfolio Decisions when Expected Returns are Time Varying
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+Decoding by Linear Programming
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+The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
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+Atomic Decomposition by Basis Pursuit
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+First-Order Methods for Sparse Covariance Selection
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+A Direct Formulation for Sparse PCA Using Semidefinite Programming
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+Sparse nonnegative solution of underdetermined linear equations by linear programming
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Predicting Structure in Sparse Matrix Computations
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+Statistical analysis of cointegration vectors
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Lasso-type recovery of sparse representations for high-dimensional data
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+Sparse Approximate Solutions to Linear Systems
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+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
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+SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
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+Linear Recursive Equations, Covariance Selection, and Path Analysis
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+Model selection and estimation in the Gaussian graphical model
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