FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS
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Publication:3225028
DOI10.1142/S021902491100684XzbMath1233.91328MaRDI QIDQ3225028
Konstantinos Mavroudis, Craig A. Nolder
Publication date: 13 March 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
principal components analysis; excess volatility; constant-proportions investment strategies; dividend factor model; evolutionary portfolio theory
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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