Ernst, Cornelia; Grossmann, Martin; Hocht, Stephan; … - In: International Journal of Financial Services Management 4 (2009) 1, pp. 48-63
In this paper, an extensive portfolio optimisation case study is conducted. For this, in a first step, a Markov … probabilities. In the second step, the model is used in an industry-standard portfolio optimisation environment and compared under …