Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios (Q1635895)
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scientific article; zbMATH DE number 6879999
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| English | Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios |
scientific article; zbMATH DE number 6879999 |
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Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios (English)
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1 June 2018
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mean reversion
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sparse estimation
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convergence trading
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\(l_1\) and \(l_2\) norms
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0.8612006902694702
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0.851578950881958
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0.8249495625495911
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0.820201575756073
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0.8186531662940979
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