Sparse mean-reverting portfolios via penalized likelihood optimization.
Jize ZhangTim LeungAleksandr Y. AravkinPublished in: Autom. (2020)
Keyphrases
- penalized likelihood
- optimization algorithm
- global optimization
- log likelihood
- em algorithm
- optimization process
- sparse data
- optimization problems
- maximum likelihood
- optimization method
- high dimensional
- prior knowledge
- semi supervised
- mutual information
- data mining
- portfolio selection
- portfolio optimization
- genetic algorithm