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Optimizing sparse mean reverting portfolios
Sipos, I. Róbert
;
Levendovszky, János
- In:
Algorithmic Finance
2
(
2013
)
2
,
pp. 127-139
, we identify the parameters of the underlying
VAR
(
1
)
model
of asset prices and then the quantities of the corresponding …
Persistent link: https://www.econbiz.de/10010991435
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