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. - Elsevier, ISSN 0377-2217. - Vol. 234.2014, 2, p. 450-458
|
Publisher: |
Elsevier |
Subject: | Investment analysis | Regime identification | Hidden Markov model | Stochastic programming | Portfolio optimization |
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