Optimizing Sparse Mean-Reverting Portfolio

By Sung Min Yoon

Published 2024-06-24

Everscope rating

1585

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Semidefinite Programming. Problem types: Portfolio Optimization, Time Series Forecasting.

arXiv:2406.17155 · Paper rankings

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