Identifying small mean-reverting portfolios

DOI10.1080/14697688.2010.481634zbMath1232.91701arXiv0708.3048MaRDI QIDQ3169214

Alexandre d'Aspremont

Publication date: 28 April 2011

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

Full work available at URL: https://arxiv.org/abs/0708.3048

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

90C90: Applications of mathematical programming

91G10: Portfolio theory

Related Items

Dynamic mode decomposition for financial trading strategies, MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS, Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations, Efficient computation of mean reverting portfolios using cyclical coordinate descent, A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints, PCA Sparsified, The sparse principal component analysis problem: optimality conditions and algorithms, Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios, Sparse mean-reverting portfolios via penalized likelihood optimization

Uses Software

• SeDuMi
• DSPCA

Cites Work

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