A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion

Mean reversion is an important property when constructing efficient contrarian strategies. Researchers observe that mean reversion has multiperiodical and asymmetric nature simultaneously in real market. To better utilize mean reversion and improve the existing online portfolio selection strategies,...

Full description

Saved in:
Bibliographic Details
Main Authors: Zijin Peng, Weijun Xu, Hongyi Li
Format: Article
Language:English
Published: Wiley 2020-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2020/5956146
Tags: Add Tag
No Tags, Be the first to tag this record!