Building optimal regime-switching portfolios
Year of publication: |
2023
|
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Authors: | Ciciretti, Vito ; Bucci, Andrea |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 64.2023, p. 1-12
|
Subject: | Eigenvector centrality | Graph theory | Hierarchical clustering | Portfolio construction | Portfolio optimization | Regime-switching | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Graphentheorie | Markov-Kette | Markov chain |
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