Smart indexing under regime-switching economic states
Chanaka Edirisinghe and Yonggan Zhao
| Year of publication: |
2020
|
|---|---|
| Authors: | Edirisinghe, Chanaka ; Zhao, Yonggan |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 27.2020, 5, p. 422-456
|
| Subject: | actively-managed funds | Hidden Markov Models | Index-tracking | portfolio optimization | regime-switching uncertainty | risk functions | smart indexing | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Risiko | Risk | Volatilität | Volatility | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1891554 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012501624