Mean Reverting Portfolios via Penalized OU-Likelihood Estimation.
Jize ZhangTim LeungAleksandr Y. AravkinPublished in: CDC (2018)
Keyphrases
- maximum likelihood
- log likelihood function
- estimation algorithm
- maximum likelihood estimation
- parameter estimation
- kullback leibler distance
- transaction costs
- decision trees
- portfolio selection
- probabilistic model
- posterior probability
- estimation accuracy
- accurate estimation
- parametric models
- real time
- artificial neural networks
- website
- image processing
- machine learning