Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
Year of publication: |
2016
|
---|---|
Authors: | Erlwein-Sayer, Christina ; Grimm, Stefanie ; Ruckdeschel, Peter ; Sass, Jörn ; Sayer, Tilman |
Published in: |
SSRN eLibrary. - [Erscheinungsort nicht ermittelbar] : Social Science Electronic Publ., ISSN 1556-5068, ZDB-ID 2234654-5. - 2016
|
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory |
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