{"id":"https://openalex.org/W2582533304","doi":"https://doi.org/10.1109/tsp.2018.2799193","title":"Mean-Reverting Portfolio With Budget Constraint","display_name":"Mean-Reverting Portfolio With Budget Constraint","publication_year":2018,"publication_date":"2018-01-30","ids":{"openalex":"https://openalex.org/W2582533304","doi":"https://doi.org/10.1109/tsp.2018.2799193","mag":"2582533304"},"language":"en","primary_location":{"id":"doi:10.1109/tsp.2018.2799193","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tsp.2018.2799193","pdf_url":null,"source":{"id":"https://openalex.org/S168680287","display_name":"IEEE Transactions on Signal Processing","issn_l":"1053-587X","issn":["1053-587X","1941-0476"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Signal Processing","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1701.05016","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074721617","display_name":"Ziping Zhao","orcid":"https://orcid.org/0000-0002-8668-6263"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Ziping Zhao","raw_affiliation_strings":["Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong"],"raw_orcid":"https://orcid.org/0000-0002-8668-6263","affiliations":[{"raw_affiliation_string":"Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong","institution_ids":["https://openalex.org/I200769079"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5054606088","display_name":"Daniel P. Palomar","orcid":"https://orcid.org/0000-0001-5250-4874"},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Daniel P. Palomar","raw_affiliation_strings":["Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong","institution_ids":["https://openalex.org/I200769079"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I200769079"],"apc_list":null,"apc_paid":null,"fwci":5.1492,"has_fulltext":false,"cited_by_count":37,"citation_normalized_percentile":{"value":0.95204065,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"66","issue":"9","first_page":"2342","last_page":"2357"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.9045077562332153},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7358899116516113},{"id":"https://openalex.org/keywords/statistical-arbitrage","display_name":"Statistical arbitrage","score":0.5843008160591125},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5681114196777344},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.5339179635047913},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.49938488006591797},{"id":"https://openalex.org/keywords/benchmark","display_name":"Benchmark (surveying)","score":0.4897878170013428},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.48564210534095764},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4780083894729614},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.47060734033584595},{"id":"https://openalex.org/keywords/budget-constraint","display_name":"Budget constraint","score":0.4341890215873718},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.4332989454269409},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.37931036949157715},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.24925357103347778},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24232575297355652},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.19818490743637085},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.18189668655395508},{"id":"https://openalex.org/keywords/project-management","display_name":"Project management","score":0.13888880610466003},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.1082257628440857},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.08672270178794861}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.9045077562332153},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7358899116516113},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.5843008160591125},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5681114196777344},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.5339179635047913},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.49938488006591797},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.4897878170013428},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.48564210534095764},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4780083894729614},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.47060734033584595},{"id":"https://openalex.org/C8505890","wikidata":"https://www.wikidata.org/wiki/Q605095","display_name":"Budget constraint","level":2,"score":0.4341890215873718},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4332989454269409},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.37931036949157715},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.24925357103347778},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24232575297355652},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.19818490743637085},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.18189668655395508},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.13888880610466003},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.1082257628440857},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.08672270178794861},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1109/tsp.2018.2799193","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tsp.2018.2799193","pdf_url":null,"source":{"id":"https://openalex.org/S168680287","display_name":"IEEE Transactions on Signal Processing","issn_l":"1053-587X","issn":["1053-587X","1941-0476"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Signal Processing","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1701.05016","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1701.05016","pdf_url":"https://arxiv.org/pdf/1701.05016","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:repository.hkust.edu.hk:1783.1-89108","is_oa":false,"landing_page_url":"http://repository.hkust.edu.hk/ir/Record/1783.1-89108","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:repository.ust.hk:1783.1-89108","is_oa":false,"landing_page_url":"http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000429212700007","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1701.05016","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1701.05016","pdf_url":"https://arxiv.org/pdf/1701.05016","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"score":0.5199999809265137,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":76,"referenced_works":["https://openalex.org/W562847688","https://openalex.org/W566883249","https://openalex.org/W611621905","https://openalex.org/W621845455","https://openalex.org/W626810950","https://openalex.org/W630559790","https://openalex.org/W635189952","https://openalex.org/W1484001331","https://openalex.org/W1545242442","https://openalex.org/W1573995267","https://openalex.org/W1587141723","https://openalex.org/W1778453575","https://openalex.org/W1862349015","https://openalex.org/W1896992559","https://openalex.org/W1968934554","https://openalex.org/W1971679956","https://openalex.org/W1975994995","https://openalex.org/W1977899734","https://openalex.org/W2004813173","https://openalex.org/W2014305517","https://openalex.org/W2015856032","https://openalex.org/W2016287239","https://openalex.org/W2016376357","https://openalex.org/W2034707435","https://openalex.org/W2050968963","https://openalex.org/W2067314231","https://openalex.org/W2068752734","https://openalex.org/W2070173743","https://openalex.org/W2087545530","https://openalex.org/W2091850740","https://openalex.org/W2093229781","https://openalex.org/W2093629426","https://openalex.org/W2097580026","https://openalex.org/W2107535465","https://openalex.org/W2108927308","https://openalex.org/W2110603299","https://openalex.org/W2122744491","https://openalex.org/W2124118565","https://openalex.org/W2130350880","https://openalex.org/W2131733003","https://openalex.org/W2134752891","https://openalex.org/W2142141874","https://openalex.org/W2149414429","https://openalex.org/W2152406377","https://openalex.org/W2153562738","https://openalex.org/W2153580489","https://openalex.org/W2158646308","https://openalex.org/W2187254888","https://openalex.org/W2210084516","https://openalex.org/W2225235077","https://openalex.org/W2276162781","https://openalex.org/W2288995648","https://openalex.org/W2332483957","https://openalex.org/W2508393166","https://openalex.org/W2559375493","https://openalex.org/W2766292535","https://openalex.org/W2947626232","https://openalex.org/W2962834015","https://openalex.org/W3122010751","https://openalex.org/W3122035786","https://openalex.org/W3122261874","https://openalex.org/W3123041092","https://openalex.org/W3125222199","https://openalex.org/W3125349967","https://openalex.org/W3146714467","https://openalex.org/W4229706427","https://openalex.org/W4230206799","https://openalex.org/W4230644069","https://openalex.org/W4230661391","https://openalex.org/W4234535002","https://openalex.org/W4236670843","https://openalex.org/W4244190840","https://openalex.org/W4246587917","https://openalex.org/W4250589301","https://openalex.org/W4300956496","https://openalex.org/W6682323019"],"related_works":["https://openalex.org/W3009729923","https://openalex.org/W3028210773","https://openalex.org/W2624663274","https://openalex.org/W2559226197","https://openalex.org/W3125349967","https://openalex.org/W3124322659","https://openalex.org/W3005395052","https://openalex.org/W2638576872","https://openalex.org/W3121617283","https://openalex.org/W2582533304"],"abstract_inverted_index":{"This":[0],"paper":[1],"considers":[2],"the":[3,17,31,36,42,68,80,91,96,100],"mean-reverting":[4],"portfolio":[5,25,43],"(MRP)":[6],"design":[7,52,83,93],"problem":[8],"arising":[9],"from":[10],"statistical":[11],"arbitrage":[12],"(a.k.a.":[13],"pairs":[14],"trading)":[15],"in":[16,99],"financial":[18],"markets.":[19],"It":[20],"aims":[21],"at":[22],"designing":[23],"a":[24],"of":[26,35],"underlying":[27],"assets":[28],"by":[29],"optimizing":[30],"mean":[32,59],"reversion":[33,60],"strength":[34],"portfolio,":[37],"while":[38],"taking":[39],"into":[40],"consideration":[41],"variance":[44],"and":[45,75,89,95],"an":[46],"investment":[47],"budget":[48],"constraint.":[49],"Several":[50],"specific":[51],"problems":[53],"are":[54,64],"considered":[55],"based":[56],"on":[57,72],"different":[58],"criteria.":[61],"Efficient":[62],"algorithms":[63],"proposed":[65,81],"to":[66],"solve":[67],"problems.":[69],"Numerical":[70],"results":[71],"both":[73],"synthetic":[74],"market":[76],"data":[77],"show":[78],"that":[79],"MRP":[82],"methods":[84,94,98],"can":[85],"generate":[86],"consistent":[87],"profits":[88],"outperform":[90],"traditional":[92],"benchmark":[97],"literature.":[101]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":5}],"updated_date":"2026-07-03T08:13:44.112507","created_date":"2017-02-03T00:00:00"}