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...
NIPS
2008
13 years 5 months ago
2008
We present a generative model for performing sparse probabilistic projections, which includes sparse principal component analysis and sparse canonical correlation analysis as spec...