Asset allocation with Markovian regime switching : efficient frontier and tangent portfolio with regime switching
Year of publication: |
2018
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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 | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
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