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"Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical ..."
Ziping Zhao, Rui Zhou, Daniel P. Palomar (2019)
- Ziping Zhao, Rui Zhou, Daniel P. Palomar:
Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance. IEEE Trans. Signal Process. 67(7): 1681-1695 (2019)
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