Improved sparse mean reverting portfolio selection using simulated annealing and extreme learning ma...
Improved sparse mean reverting portfolio selection using simulated annealing and extreme learning machine
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Author / Creator
Publisher
Warsaw: University of Finance and Management in Warsaw, Faculty of Management and Finance
Journal title
Language
English
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Publisher
Warsaw: University of Finance and Management in Warsaw, Faculty of Management and Finance
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Scope and Contents
Contents
We study the problem of selecting a sparse, mean reverting portfolio from a universe of assets using simulated annealing (SA). Assuming that assets follow a first order vector autoregressive process (VAR(1)), we make a number of improvements in existing methods. First, we extend the underlying asset dynamics to include a time-independent additive t...
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Full title
Improved sparse mean reverting portfolio selection using simulated annealing and extreme learning machine
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Record Identifier
TN_cdi_proquest_journals_3167431596
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_3167431596
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ISSN
2300-8814,2084-0845
E-ISSN
2300-8814
DOI
10.5709/ce.1897-9254.541
