scientific article
From MaRDI portal
Publication:2898811
zbMath1248.62202MaRDI QIDQ2898811
Janos Levendovszky, Norbert Fogarasi
Publication date: 12 July 2012
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
mean reversionfinancial time seriessparse estimationcovariance selectionconvergence tradingVAR(1) model
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios ⋮ A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
This page was built for publication:
