Efficient computation of mean reverting portfolios using cyclical coordinate descent (Q5014198)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient computation of mean reverting portfolios using cyclical coordinate descent |
scientific article; zbMATH DE number 7436792
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient computation of mean reverting portfolios using cyclical coordinate descent |
scientific article; zbMATH DE number 7436792 |
Statements
Efficient computation of mean reverting portfolios using cyclical coordinate descent (English)
0 references
1 December 2021
0 references
Bayesian modelling
0 references
sparse portfolio
0 references
mean reversion
0 references
cyclical coordinate descent
0 references
0 references
