Multivariate regime switching model estimation and asset allocation
Year of publication: |
2023
|
---|---|
Authors: | Zheng, Kai ; Xu, Weidong ; Zhang, Xili |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 1, p. 165-196
|
Subject: | Asset allocation | Feature construction | Machine learning | Multi-variate Markov regime switching | Spectral clustering | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Kapitalanlage | Financial investment |
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