A Regime-Switching Factor Model for Mean-Variance Optimization
Year of publication: |
2020
|
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Authors: | Costa, Giorgio |
Other Persons: | Kwon, Roy (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | CAPM | Mathematische Optimierung | Mathematical programming | Markov-Kette | Markov chain |
Extent: | 1 Online-Ressource (33 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Risk, 2020 Nach Informationen von SSRN wurde die ursprĂĽngliche Fassung des Dokuments June 15, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3609365 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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