Optimizing sparse mean reverting portfolios

DOI10.3233/AF-13021zbMath1290.91151MaRDI QIDQ5420712

I. Róbert Sipos, Janos Levendovszky

Publication date: 13 June 2014

Published in: Algorithmic Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items (2)

A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints ⋮ Efficient computation of mean reverting portfolios using cyclical coordinate descent

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