Sparse mean-reverting portfolios via penalized likelihood optimization (Q2288638)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse mean-reverting portfolios via penalized likelihood optimization |
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Sparse mean-reverting portfolios via penalized likelihood optimization (English)
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20 January 2020
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mean-reverting portfolios
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Ornstein-Uhlenbeck process
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maximum likelihood optimization
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