Permanent shocks, signal extraction, and portfolio selection
Year of publication: |
July 2018
|
---|---|
Authors: | Nazliben, K. Korhan ; Rodríguez, Juan Carlos |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 92.2018, p. 47-68
|
Subject: | Portfolio selection | Kalman filter | Mean reversion | Theorie | Theory | Portfolio-Management | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Schock | Shock |
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