Optimizing sparse mean reverting portfolios

DOI10.3233/AF-13021MaRDI QIDQ5420712zbMATH OpenFDO

Authors I. Róbert Sipos, János Levendovszky

Publication date 13 June 2014

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/AF-13021

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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(13)

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• Sparse mean-reverting portfolios via penalized likelihood optimization
• Constructing optimal sparse portfolios using regularization methods
• Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios
• Identifying small mean-reverting portfolios
• Optimal trading strategies -- a time series approach
• Fast recursive portfolio optimization
• Sparse Portfolios for High-Dimensional Financial Index Tracking
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
• Efficient computation of mean reverting portfolios using cyclical coordinate descent
• Sparse, mean reverting portfolio selection using simulated annealing
• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
• Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction

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