The regime switching portfolios
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Publication:538326
DOI10.1007/s10690-010-9129-xzbMath1278.91144MaRDI QIDQ538326
Hiroshi Ishijima, Masaki Uchida
Publication date: 25 May 2011
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-010-9129-x
EM algorithm; portfolio selection; Markov switching model; continuous-time regime switching; discrete-time regime switching; log mean-variance
62H30: Classification and discrimination; cluster analysis (statistical aspects)
91G70: Statistical methods; risk measures
62M02: Markov processes: hypothesis testing
91G10: Portfolio theory
Related Items
Stability analysis for stochastic hybrid systems: a survey, Log mean-variance portfolio selection under regime switching, Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization
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