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Capturing the Regime-Switching...
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Portfolio selection
Regime-switching
152
regime-switching
147
parameter estimation
136
Parameter estimation
130
Theorie
77
Markov chain
70
Theory
70
Markov-Kette
68
Schätzung
59
Schätztheorie
58
Estimation
57
Volatility
55
Estimation theory
54
Volatilität
54
Stochastic process
41
Stochastischer Prozess
41
Regime-Switching
31
Option pricing theory
30
Optionspreistheorie
30
Monetary policy
28
Portfolio-Management
25
Geldpolitik
23
Capital income
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Kapitaleinkommen
22
Prognoseverfahren
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Bayesian inference
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Forecasting model
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ARCH-Modell
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Bayes-Statistik
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Börsenkurs
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Share price
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ARCH model
18
Business cycle
18
Parameter Estimation
18
Zinsstruktur
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forecasting
18
Mathematical programming
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Mathematische Optimierung
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Bo, Lijun
2
Wang, Yongjin
2
Wu, Yonghong
2
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1
Altay, Sühan
1
Auer, Benjamin R.
1
Bai, Yang
1
Belak, Christoph
1
Bi, Junna
1
Bucci, Andrea
1
Chen, Ping
1
Chen, Zhiping
1
Christensen, Sören
1
Chung, Munki
1
Ciciretti, Vito
1
Colaneri, Katia
1
Daly, Vincent
1
Dong, Jing
1
Eksi-Altay, Zehra
1
Fabozzi, Frank J.
1
Godin, Frédéric
1
Haas, Markus
1
Hamadi, Malika
1
Hamel, Emmanuel
1
Heinen, Andréas
1
Jaiswal, Ritika
1
Jing, Kui
1
Keykhaei, Reza
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Kim, Jang Ho
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Kim, Mi Lim
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Kim, Woo Chang
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Li, Hong
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Li, Lingfei
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Li, Xuepeng
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International journal of theoretical and applied finance
3
Economic modelling
2
Finance research letters
2
Journal of economic dynamics & control
2
Quantitative finance
2
Afro-Asian Journal of Finance and Accounting : AAJFA
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
European journal of operational research : EJOR
1
Financial markets and portfolio management
1
International journal of business and economics research : IJBER
1
International transactions in operational research : a journal of the International Federation of Operational Research Societies
1
Journal of financial econometrics
1
Journal of mathematical finance
1
Mathematical methods of operations research
1
Mathematics and financial economics
1
RAIRO / Operations research
1
Review of economics & finance
1
Risks : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
Copula model estimation and test of inventory portfolio pledge rate
Zhou, Li
;
Dong, Jing
- In:
International journal of business and economics …
3
(
2014
)
4
,
pp. 150-154
Persistent link: https://www.econbiz.de/10010494128
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2
A bi-level programming framework for identifying optimal parameters in portfolio selection
Jing, Kui
;
Xu, Fengmin
;
Li, Xuepeng
- In:
International transactions in operational research : a …
29
(
2022
)
1
,
pp. 87-112
Persistent link: https://www.econbiz.de/10012630726
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3
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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4
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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5
Worst-case portfolio optimization in a market with bubbles
Belak, Christoph
;
Christensen, Sören
;
Menkens, Olaf
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011454368
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6
Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon
Zeng, Yan
;
Wu, Huiling
;
Lai, Yongzeng
- In:
Economic modelling
33
(
2013
),
pp. 462-470
Persistent link: https://www.econbiz.de/10010192881
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7
Time-consistent mean-variance asset-liability management in a regime-switching jump-diffusion market
Yang, Yu
;
Wu, Yonghong
;
Wiwatanapataphee, Benchawan
- In:
Financial markets and portfolio management
34
(
2020
)
4
,
pp. 401-427
Persistent link: https://www.econbiz.de/10012309913
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8
Portfolio flows and the US dollar-yen exchange rate
Ali, Faek Menla
;
Spagnolo, Fabio
;
Spagnolo, Nicola
- In:
Empirical economics : a journal of the Institute for …
52
(
2017
)
1
,
pp. 179-189
Persistent link: https://www.econbiz.de/10011631609
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9
Optimal credit investment and risk control for an insurer with regime-switching
Bo, Lijun
;
Liao, Huafu
;
Wang, Yongjin
- In:
Mathematics and financial economics
13
(
2019
)
1
,
pp. 147-172
Persistent link: https://www.econbiz.de/10012055756
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10
Analytic value function for optimal regime-switching pairs trading rules
Bai, Yang
;
Wu, Lan
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 637-654
Persistent link: https://www.econbiz.de/10011906451
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