I. Róbert Sipos

Budapest University of Technology and Economics

Budafoki ut 8.

Budapest, 1111

Hungary

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Optimizing Sparse Mean Reverting Portfolios

Algorithmic Finance 2013, 2:2, 127-139
Number of pages: 14 Posted: 11 Sep 2013
I. Róbert Sipos and János Levendovszky
Budapest University of Technology and Economics and Budapest University of Technology and Economics
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Abstract: