Sparse, mean reverting portfolio selection using simulated annealing

DOI10.3233/AF-13026MaRDI QIDQ5420718zbMATH OpenOpenAlexFDO

Authors Norbert Fogarasi, 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-13026

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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• Simulated annealing for complex portfolio selection problems.
• Simulated annealing algorithm for optimal capital growth
• Sparse mean-reverting portfolios via penalized likelihood optimization
• Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios
• A concave optimization-based approach for sparse portfolio selection
• Efficient computation of mean reverting portfolios using cyclical coordinate descent
• Optimizing sparse mean reverting portfolios
• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
• A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
• Statistical proxy based mean-reverting portfolios with sparsity and volatility constraints

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