Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance

DOI10.1109/TSP.2019.2893862MaRDI QIDQ4631459zbMATH OpenOpenAlexWikidataFDO

Authors Ziping Zhao, Rui Zhou, D. P. Palomar

Publication date 29 March 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2019.2893862

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cited in

(7)

• Sparse mean-reverting portfolios via penalized likelihood optimization
• Risk control of mean-reversion time in statistical arbitrage
• Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
• A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
• Finding moving-band statistical arbitrages via convex-concave optimization
• Efficient and provable online reduced rank regression via online gradient descent

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