Dynamic asset allocation for varied financial markets under regime switching framework
Geum Il Bae; Woo Chang Kim; John M. Mulvey
| Year of publication: |
2014
|
|---|---|
| Authors: | Bae, Geum Il ; Kim, Woo Chang ; Mulvey, John M. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 2 (1.4.), p. 450-458
|
| Subject: | Investment analysis | Regime identification | Hidden Markov model | Stochastic programming | Portfolio optimization | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010356729