Efficient computation of mean reverting portfolios using cyclical coordinate descent

T. Griveau-Billion and B. Calderhead

Year of publication:	2021
Authors:	Griveau-Billion, T. ; Calderhead, Ben
Subject:	Bayesian modelling \| Cyclical coordinate descent \| Mean reversion \| Sparse portfolio \| Portfolio-Management \| Portfolio selection \| Mean Reversion \| Theorie \| Theory \| Bayes-Statistik \| Bayesian inference \| Konjunktur \| Business cycle

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