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Persistent link: https://www.econbiz.de/10012272501
We consider portfolio optimization in a regime-switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different states. We consider different parametrizations of...
Persistent link: https://www.econbiz.de/10012822356