Mean Reverting Portfolios via Penalized OU-Likelihood Estimation

Jize Zhang, Tim Leung, Aleksandr Aravkin. Mean Reverting Portfolios via Penalized OU-Likelihood Estimation. In 57th IEEE Conference on Decision and Control, CDC 2018, Miami, FL, USA, December 17-19, 2018. pages 5795-5800, IEEE, 2018. [doi]

Abstract

Abstract is missing.