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Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel (contributor);  … - 2005
dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …
Persistent link: https://www.econbiz.de/10003324220
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Identification of macroeconomic factors in large panels
Bork, Lasse; Dewachter, Hans; Houssa, Romain - 2009
Persistent link: https://www.econbiz.de/10003883594
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On factorial HMMs for time series in finance
Saidane, Mohamed; Lavergne, Christian - In: The Kyoto economic review 75 (2006) 1, pp. 63-90
Persistent link: https://www.econbiz.de/10003475184
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Identification of macroeconomic factors in large panels
Bork, Lasse; Dewachterz, Hans; Houssax, Romain - 2009
Persistent link: https://www.econbiz.de/10003910568
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Identification of macroeconomic factors in large papels
Bork, Lasse; Dewachter, Hans; Houssa, Romain - 2009
Persistent link: https://www.econbiz.de/10003910620
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Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2009
Persistent link: https://www.econbiz.de/10003937094
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Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2008
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...
Persistent link: https://www.econbiz.de/10003966616
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An integrated multi-phase model for evaluating agricultural policies through positive information
Paris, Quirino (contributor) - In: Agricultural sector modelling and policy information …, (pp. 101-110). 2001
Persistent link: https://www.econbiz.de/10001597889
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Linear factor models in finance
Knight, John; Knight, John L.; Satchell, Stephen - 2005
Persistent link: https://www.econbiz.de/10001973380
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A Regime-Switching Factor Model for Mean-Variance Optimization
Costa, Giorgio - 2020
We formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets. Maintaining a factor model structure allows us to easily derive the asset expected returns and their corresponding covariance matrix. By design, these two...
Persistent link: https://www.econbiz.de/10012833148