Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios
type: Item
instance of: scholarly article
title: Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios
zbMATH Open document ID: 1458.62248
author: Xiaolong Long
author: Knut Sølna
author: Jack Xin
published in: Journal of Scientific Computing
publication date: 2018-06-01T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 90C26
zbMATH DE Number: 6879999
zbMATH Keywords: mean reversion
zbMATH Keywords: sparse estimation
zbMATH Keywords: convergence trading
zbMATH Keywords: \(l_1\) and \(l_2\) norms
MaRDI profile type: MaRDI publication profile
full work available at URL: s10915-017-0578-5
OpenAlex ID: W2766564296
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DOI: 10.1007/S10915-017-0578-5
description: scientific article; zbMATH DE number 6879999