Norbert Fogarasi

Budapest University of Technology and Economics

Budafoki ut 8.

Budapest, 1111

Hungary

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Sparse, Mean Reverting Portfolio Selection Using Simulated Annealing

Algorithmic Finance 2013, 2:3-4, 197-211
Number of pages: 16 Posted: 18 Jan 2014
Norbert Fogarasi and János Levendovszky
Budapest University of Technology and Economics and Budapest University of Technology and Economics
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Citation 1

Abstract: