Efficient computation of mean reverting portfolios using cyclical coordinate descent (Q5014198)
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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 |
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Efficient computation of mean reverting portfolios using cyclical coordinate descent (English)
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1 December 2021
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Bayesian modelling
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sparse portfolio
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mean reversion
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cyclical coordinate descent
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