Dynamic asset allocation for varied financial markets under regime switching framework
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 | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory | Finanzmarkt | Financial market | Finanzanalyse | Financial analysis | Mathematische Optimierung | Mathematical programming | Kapitalanlage | Financial investment |
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