Dynamic portfolio optimization under regime-based firm strength

MaRDI QIDQ5416124zbMATH OpenFDO

Authors X. Zhang, N. Chanaka P. Edirisinghe

Publication date 19 May 2014

zbMATH Keywords

regime-switching market modelstock portfolios

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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Cited in

(3)

• Dynamic portfolio optimization across hidden market regimes
• Dynamic portfolio optimization across hidden market regimes
• Intelligent Portfolio Theory and Strength Investing in the Confluence of Business and Market Cycles and Sector and Location Rotations

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