Efficient computation of mean reverting portfolios using cyclical coordinate descent
T. Griveau-Billion and B. Calderhead
| Year of publication: |
2021
|
|---|---|
| Authors: | Griveau-Billion, T. ; Calderhead, Ben |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 4, p. 673-684
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| Subject: | Bayesian modelling | Cyclical coordinate descent | Mean reversion | Sparse portfolio | Theorie | Theory | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Mean Reversion | Konjunktur | Business cycle |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1803497 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483845