Pages that link to "Item:Q3169214"
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The following pages link to Identifying small mean-reverting portfolios (Q3169214):
Displayed 9 items.
- The sparse principal component analysis problem: optimality conditions and algorithms (Q306306) (← links)
- Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios (Q1635895) (← links)
- Sparse mean-reverting portfolios via penalized likelihood optimization (Q2288638) (← links)
- Dynamic mode decomposition for financial trading strategies (Q4554232) (← links)
- MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS (Q4608111) (← links)
- Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations (Q4619542) (← links)
- Efficient computation of mean reverting portfolios using cyclical coordinate descent (Q5014198) (← links)
- A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (Q6079984) (← links)
- PCA Sparsified (Q6176425) (← links)