Fogarasi, Norbert; Levendovszky, Janos - In: Algorithmic Finance 2 (2013) 3-4, pp. 197-211
We study the problem of finding sparse, mean reverting portfolios based on multivariate historical time series. After mapping the optimal portfolio selection problem into a generalized eigenvalue problem, we propose a new optimization approach based on the use of simulated annealing. This new...