Identifying small mean-reverting portfolios
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Publication:3169214
DOI10.1080/14697688.2010.481634zbMath1232.91701arXiv0708.3048MaRDI QIDQ3169214
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.3048
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
90C90: Applications of mathematical programming
91G10: Portfolio theory
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Cites Work
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