Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance.
Ziping ZhaoRui ZhouDaniel P. PalomarPublished in: IEEE Trans. Signal Process. (2019)
Keyphrases
- portfolio management
- portfolio selection
- statistical analysis
- dynamic programming
- machine learning
- financial markets
- neural network
- portfolio optimization
- transaction costs
- information theoretic
- statistical models
- search algorithm
- optimal solution
- state space
- optimal control
- optimal design
- long term
- decision making
- data sets
- optimal portfolio