2 search results - page 1 / 1 » Identifying Small Mean Reverting Portfolios |
CORR
2007
Springer
13 years 4 months ago
2007
Springer
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...
EOR
2006
13 years 4 months ago
2006
One of the most important, common and critical management issues lies in determining the "best" project portfolio out of a given set of investment proposals. As this dec...