1 Based Nonconvex Methods in Constructing Sparse Mean Reverting Portfolios

Xiaolong Long, Knut Solna, Jack Xin. 1 Based Nonconvex Methods in Constructing Sparse Mean Reverting Portfolios. J. Sci. Comput., 75(2):1156-1186, 2018. [doi]

Abstract

Abstract is missing.