Log mean-variance portfolio selection under regime switching (Q538328): Difference between revisions

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+https://doi.org/10.1007/s10690-010-9132-2
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+W2013095020
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+Q4139463
@@ Property / cites work: Q4139463 / rank @@
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@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
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@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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@@ Property / cites work @@
+Analysis of time series subject to changes in regime
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+Q4840212
@@ Property / cites work: Q4840212 / rank @@
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@@ Property / cites work @@
+The regime switching portfolios
@@ Property / cites work: The regime switching portfolios / rank @@
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@@ Property / cites work @@
+Dynamic linear models with Markov-switching
@@ Property / cites work: Dynamic linear models with Markov-switching / rank @@
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@@ Property / cites work @@
+Optimal portfolios with asymptotic criteria
@@ Property / cites work: Optimal portfolios with asymptotic criteria / rank @@
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+A preference foundation for log mean-variance criteria in portfolio choice problems
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+Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
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+Moments of Markov switching models
@@ Property / cites work: Moments of Markov switching models / rank @@
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