Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
Year of publication: |
2022
|
---|---|
Authors: | Leoff, Elisabeth ; Ruderer, Leonie ; Sass, Jörn |
Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 95.2022, 2, p. 327-359
|
Subject: | Hidden Markov model | Mutual fund | Portfolio optimization | Regime switching | Stochastic filtering | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Investmentfonds | Investment Fund |
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