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Persistent link: https://www.econbiz.de/10015189621
We study the problem of selecting a sparse, mean reverting portfolio from a universe of assets using simulated annealing (SA). Assuming that assets follow a first order vector autoregressive process (VAR(1)), we make a number of improvements in existing methods. First, we extend the underlying...
Persistent link: https://www.econbiz.de/10015326045