Optimizing sparse mean reverting portfolios (Q5420712)

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scientific article; zbMATH DE number 6304168
Language Label Description Also known as
English
Optimizing sparse mean reverting portfolios
scientific article; zbMATH DE number 6304168

    Statements

    title
    Optimizing sparse mean reverting portfolios (English)
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    author
    I. Róbert Sipos
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    Janos Levendovszky
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    publication date
    13 June 2014
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    Identifiers

    DOI
    10.3233/AF-13021
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    Mathematics Subject Classification ID
    91G10
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    91G70
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    90C90
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    zbMATH DE Number
    6304168
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