Identifying Small Mean Reverting Portfolios

Details Identifying Small Mean Reverting Portfolios Identifying Small Mean Reverting Portfolios

2007-08-22

arxiv.org/abs/0708.3048v2

Computer Science

Computational Engineering, Finance, and Science

Scientific paper

Given multivariate time series, we study the problem of forming portfolios with maximum mean reversion while constraining the number of assets in these portfolios. We show that it can be formulated as a sparse canonical correlation analysis and study various algorithms to solve the corresponding sparse generalized eigenvalue problems. After discussing penalized parameter estimation procedures, we study the sparsity versus predictability tradeoff and the impact of predictability in various markets.

Affiliated with

Also associated with

No associations

Rating

Identifying Small Mean Reverting Portfolios does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Identifying Small Mean Reverting Portfolios, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Identifying Small Mean Reverting Portfolios will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-136115