{"id":"https://openalex.org/W2766564296","doi":"https://doi.org/10.1007/s10915-017-0578-5","title":"Three $$l_1$$ Based Nonconvex Methods in Constructing Sparse Mean Reverting Portfolios","display_name":"Three $$l_1$$ Based Nonconvex Methods in Constructing Sparse Mean Reverting Portfolios","publication_year":2017,"publication_date":"2017-10-20","ids":{"openalex":"https://openalex.org/W2766564296","doi":"https://doi.org/10.1007/s10915-017-0578-5","mag":"2766564296"},"language":"en","primary_location":{"id":"doi:10.1007/s10915-017-0578-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10915-017-0578-5","pdf_url":null,"source":{"id":"https://openalex.org/S151550017","display_name":"Journal of Scientific Computing","issn_l":"0885-7474","issn":["0885-7474","1573-7691"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Scientific Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5082411873","display_name":"Xiaolong Long","orcid":null},"institutions":[{"id":"https://openalex.org/I120611246","display_name":"Obayashi (Japan)","ror":"https://ror.org/027qqvd10","country_code":"JP","type":"company","lineage":["https://openalex.org/I120611246"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Xiaolong Long","raw_affiliation_strings":["8700 Pershing Dr., Playa Del Rey, CA, 90293, USA","Playa Del Rey, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"8700 Pershing Dr., Playa Del Rey, CA, 90293, USA","institution_ids":["https://openalex.org/I120611246"]},{"raw_affiliation_string":"Playa Del Rey, USA","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5076372723","display_name":"Knut S\u00f8lna","orcid":"https://orcid.org/0000-0002-8508-8288"},"institutions":[{"id":"https://openalex.org/I204250578","display_name":"University of California, Irvine","ror":"https://ror.org/04gyf1771","country_code":"US","type":"education","lineage":["https://openalex.org/I204250578"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Knut Solna","raw_affiliation_strings":["Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA","Department of Mathematics, University of California at Irvine, Irvine, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA","institution_ids":["https://openalex.org/I204250578"]},{"raw_affiliation_string":"Department of Mathematics, University of California at Irvine, Irvine, USA","institution_ids":["https://openalex.org/I204250578"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5059708262","display_name":"Jack Xin","orcid":"https://orcid.org/0000-0002-6438-8476"},"institutions":[{"id":"https://openalex.org/I204250578","display_name":"University of California, Irvine","ror":"https://ror.org/04gyf1771","country_code":"US","type":"education","lineage":["https://openalex.org/I204250578"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jack Xin","raw_affiliation_strings":["Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA","Department of Mathematics, University of California at Irvine, Irvine, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA","institution_ids":["https://openalex.org/I204250578"]},{"raw_affiliation_string":"Department of Mathematics, University of California at Irvine, Irvine, USA","institution_ids":["https://openalex.org/I204250578"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5082411873"],"corresponding_institution_ids":["https://openalex.org/I120611246"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":0.2094,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.52195189,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"75","issue":"2","first_page":"1156","last_page":"1186"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10500","display_name":"Sparse and Compressive Sensing Techniques","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10500","display_name":"Sparse and Compressive Sensing Techniques","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10931","display_name":"Direction-of-Arrival Estimation Techniques","score":0.9912999868392944,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7014814615249634},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.6816675662994385},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5056312084197998},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.44752585887908936},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4262208342552185},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.4242652356624603},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.4233807325363159},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.11971873044967651}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7014814615249634},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.6816675662994385},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5056312084197998},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.44752585887908936},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4262208342552185},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.4242652356624603},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.4233807325363159},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.11971873044967651},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s10915-017-0578-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10915-017-0578-5","pdf_url":null,"source":{"id":"https://openalex.org/S151550017","display_name":"Journal of Scientific Computing","issn_l":"0885-7474","issn":["0885-7474","1573-7691"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Scientific Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1655756121","display_name":null,"funder_award_id":"1522383","funder_id":"https://openalex.org/F4320337380","funder_display_name":"Division of Mathematical Sciences"},{"id":"https://openalex.org/G4366410482","display_name":null,"funder_award_id":"1632935","funder_id":"https://openalex.org/F4320337389","funder_display_name":"Division of Information and Intelligent Systems"},{"id":"https://openalex.org/G4594305265","display_name":null,"funder_award_id":"1222507","funder_id":"https://openalex.org/F4320337380","funder_display_name":"Division of Mathematical Sciences"}],"funders":[{"id":"https://openalex.org/F4320337380","display_name":"Division of Mathematical Sciences","ror":"https://ror.org/051fftw81"},{"id":"https://openalex.org/F4320337389","display_name":"Division of Information and Intelligent Systems","ror":"https://ror.org/053a2cp42"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W81972919","https://openalex.org/W1513989461","https://openalex.org/W1589133845","https://openalex.org/W1764735816","https://openalex.org/W1972649461","https://openalex.org/W1975900269","https://openalex.org/W1977806565","https://openalex.org/W1987075379","https://openalex.org/W2004886822","https://openalex.org/W2025341678","https://openalex.org/W2028781966","https://openalex.org/W2042948547","https://openalex.org/W2051664786","https://openalex.org/W2053968746","https://openalex.org/W2063978378","https://openalex.org/W2070173743","https://openalex.org/W2073605190","https://openalex.org/W2097417531","https://openalex.org/W2110603299","https://openalex.org/W2113600901","https://openalex.org/W2118718620","https://openalex.org/W2129779124","https://openalex.org/W2135046866","https://openalex.org/W2142141874","https://openalex.org/W2147779004","https://openalex.org/W2152406377","https://openalex.org/W2159857890","https://openalex.org/W2171270653","https://openalex.org/W2317475341","https://openalex.org/W2340859457","https://openalex.org/W2484631804","https://openalex.org/W2615253071","https://openalex.org/W3118514719"],"related_works":["https://openalex.org/W3121451284","https://openalex.org/W1554714919","https://openalex.org/W3141949298","https://openalex.org/W2799727225","https://openalex.org/W3125208732","https://openalex.org/W2638576872","https://openalex.org/W3124322659","https://openalex.org/W2126366586","https://openalex.org/W2198910233","https://openalex.org/W2535715363"],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}