The regime switching portfolios (Q538326): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M02
@@ Property / Mathematics Subject Classification ID: 62M02 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 62H30 / rank @@
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@@ Property / zbMATH DE Number @@
+5899522
@@ Property / zbMATH DE Number: 5899522 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Markov switching model
@@ Property / zbMATH Keywords: Markov switching model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+continuous-time regime switching
@@ Property / zbMATH Keywords: continuous-time regime switching / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+discrete-time regime switching
@@ Property / zbMATH Keywords: discrete-time regime switching / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+log mean-variance
@@ Property / zbMATH Keywords: log mean-variance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio selection
@@ Property / zbMATH Keywords: portfolio selection / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+EM algorithm
@@ Property / zbMATH Keywords: EM algorithm / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-010-9129-x
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+W2146942844
@@ Property / OpenAlex ID: W2146942844 / rank @@
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@@ Property / cites work: Q3847797 / rank @@
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@@ Property / cites work @@
+Q4023085
@@ Property / cites work: Q4023085 / rank @@
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@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Q4139463
@@ Property / cites work: Q4139463 / rank @@
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@@ Property / cites work @@
+Exact adaptive filters for Markov chains observed in Gaussian noise
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@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+An application of hidden Markov models to asset allocation problems
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@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Analysis of time series subject to changes in regime
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic linear models with Markov-switching
@@ Property / cites work: Dynamic linear models with Markov-switching / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios with asymptotic criteria
@@ Property / cites work: Optimal portfolios with asymptotic criteria / rank @@
+Normal rank
@@ Property / cites work @@
+Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
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@@ Property / cites work @@
+A preference foundation for log mean-variance criteria in portfolio choice problems
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
+Normal rank
@@ Property / cites work @@
+Moments of Markov switching models
@@ Property / cites work: Moments of Markov switching models / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:538326