Year: 2025
Type: preprint
Abstract: The principal portfolio approach is an emerging method in signal-based trading. However, these principal portfolios may not be diversified to explore the key features of the prediction matrix or robust to different situations. To address this problem, we propose a novel linear trading position with sparse spectrum that can explore a larger spectral region of the prediction matrix. We also develop a Krasnosel'ski\u ı-Mann fixed-point algorithm to optimize this trading position, which possesses the descent property and achieves a linear convergence rate in the objective value. This is a new theoretical result for this type of algorithms. Extensive experiments show that the proposed method achieves good and robust performance in various situations.
Source: arXiv (Cornell University)
Authors: Lai, Zhao-Rong, Yang, Haisheng
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7078545354
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