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CORR
2007
Springer
147views Education» more  CORR 2007»
11 years 1 months ago
Identifying Small Mean Reverting Portfolios
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...
Alexandre d'Aspremont
NIPS
2008
11 years 3 months ago
Sparse probabilistic projections
We present a generative model for performing sparse probabilistic projections, which includes sparse principal component analysis and sparse canonical correlation analysis as spec...
Cédric Archambeau, Francis Bach
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