2 search results - page 1 / 1 » Identifying Small Mean Reverting Portfolios |
107
Voted
CORR
2007
Springer
14 years 10 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...
109
Voted
EOR
2006
14 years 10 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...