Efficient computation of mean reverting portfolios using...

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Efficient computation of mean reverting portfolios using cyclical coordinate descent

Griveau-Billion, T., Calderhead, B.
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Journal:
Quantitative Finance
DOI:
10.1080/14697688.2020.1803497
Date:
September, 2020
File:
PDF, 1.58 MB
2020
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