Efficient computation of mean reverting portfolios using cyclical coordinate descent
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Publication:5014198
DOI10.1080/14697688.2020.1803497zbMath1479.91357arXiv1905.05841OpenAlexW3084386387MaRDI QIDQ5014198
T. Griveau-Billion, Ben Calderhead
Publication date: 1 December 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.05841
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Cites Work
- GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
- Identifying small mean-reverting portfolios
- A canonical analysis of multiple time series
- Optimizing sparse mean reverting portfolios
- Sparse, mean reverting portfolio selection using simulated annealing
- Convergence of a block coordinate descent method for nondifferentiable minimization
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