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A novel regularization-based optimization approach to sparse mean-reverting portfolios selection

Published Online: 2023-01-27

Published Print: 2023-12

Authors

Sadik, Somaya

Et-tolba, Mohamed

Nsiri, Benayad
License Information

Text and Data Mining valid from 2023-01-27

Version of Record valid from 2023-01-27
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Article History

Received: 5 July 2022

Revised: 15 December 2022

Accepted: 15 December 2022

First Online: 27 January 2023

Declarations

:

: The authors have no conflicts of interest to declare that are relevant to the content of this article.

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