Regime-switching factor investing with hidden Markov models
Year of publication: |
2020
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Authors: | Wang, Matthew ; Lin, Yi-Hong ; Mikhelson, Ilya |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 12/311, p. 1-15
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Subject: | factor models | hidden Markov model | market regime | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13120311 [DOI] hdl:10419/239397 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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