Ziping Zhao, Rui Zhou, Daniel P. Palomar. Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance. IEEE Transactions on Signal Processing, 67(7):1681-1695, 2019. [doi]
@article{ZhaoZP19,
title = {Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance},
author = {Ziping Zhao and Rui Zhou and Daniel P. Palomar},
year = {2019},
doi = {10.1109/TSP.2019.2893862},
url = {https://doi.org/10.1109/TSP.2019.2893862},
researchr = {https://researchr.org/publication/ZhaoZP19},
cites = {0},
citedby = {0},
journal = {IEEE Transactions on Signal Processing},
volume = {67},
number = {7},
pages = {1681-1695},
}