Asset allocation with Markovian regime switching : efficient frontier and tangent portfolio with regime switching
André Barbosa Oliveira, Pedro L. Valls Pereira
| Year of publication: |
2018
|
|---|---|
| Authors: | Oliveira, André Barbosa ; Pereira, Pedro L. Valls |
| Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1980-2447, ZDB-ID 2392364-7. - Vol. 38.2018, 1, p. 97-127
|
| Subject: | Portfolio theory | Time series models with Markovian regime switching | Optimization theory | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/bre.v38n12018.66264 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012129068