A Kalman filter control technique in mean-variance portfolio management
Year of publication: |
2015
|
---|---|
Authors: | DiLellio, James |
Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 39.2015, 2, p. 235-261
|
Publisher: |
Springer |
Subject: | Kalman Filter | Three Factor Model | Optimization | Investments |
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