Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance

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]

Possibly Related Publications

The following publications are possibly variants of this publication: