Three $$l_1$$ l 1 Based Nonconvex Methods in Constructing Sparse Mean Reverting Portfolios
Long, Xiaolong, Solna, Knut, Xin, JackLanguage:
english
Journal:
Journal of Scientific Computing
DOI:
10.1007/s10915-017-0578-5
Date:
October, 2017
File:
PDF, 2.57 MB
english, 2017