Cluster analysis for regime identification and forecasting with application to the enhanced index tracking problem
Year of publication: |
2014
|
---|---|
Authors: | Paulo, Wanderlei Lima de ; Costa, Oswaldo Luiz do Valle |
Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 11.2014, 3, p. 44-52
|
Subject: | switching regime | cluster analysis | enhanced index tracking | Markov process | Clusteranalyse | Cluster analysis | Markov-Kette | Markov chain | Aktienindex | Stock index | Theorie | Theory | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection |
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