E-resources
Peer reviewed
-
Ziping Zhao; Rui Zhou; Palomar, Daniel P.
IEEE transactions on signal processing, 04/2019, Volume: 67, Issue: 7Journal Article
The optimal mean-reverting portfolio (MRP) design problem is an important task for statistical arbitrage, also known as pairs trading, in the financial markets. The target of the problem is to construct a portfolio of the underlying assets (possibly with an asset selection target) that can exhibit a satisfactory mean reversion property and a desirable variance property. In this paper, the optimal MRP design problem is studied under an investment leverage constraint representing the total investment positions on the underlying assets. A general problem formulation is proposed by considering the design targets subject to a leverage constraint. To solve the problem, a unified optimization framework based on the successive convex approximation method is developed. The superior performance of the proposed formulation and the algorithms are verified through numerical simulations on both synthetic data and real market data.
Shelf entry
Permalink
- URL:
Impact factor
Access to the JCR database is permitted only to users from Slovenia. Your current IP address is not on the list of IP addresses with access permission, and authentication with the relevant AAI accout is required.
Year | Impact factor | Edition | Category | Classification | ||||
---|---|---|---|---|---|---|---|---|
JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
Select the library membership card:
If the library membership card is not in the list,
add a new one.
DRS, in which the journal is indexed
Database name | Field | Year |
---|
Links to authors' personal bibliographies | Links to information on researchers in the SICRIS system |
---|
Source: Personal bibliographies
and: SICRIS
The material is available in full text. If you wish to order the material anyway, click the Continue button.