Bayesian nonparametric portfolio selection with rolling maximum drawdown control
Year of publication: |
2023
|
---|---|
Authors: | Mei, Xiaoling ; Wang, Yachong ; Zhu, Weixuan |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 10, p. 1497-1510
|
Subject: | HDP-HMM | Model predictive control | Regime switching | Time-varying drawdown control | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Nichtparametrisches Verfahren | Nonparametric statistics | Kontrolltheorie | Control theory |
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