An examination of HMM-based investment strategies for asset allocation (Q2862422)
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scientific article; zbMATH DE number 6227413
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| English | An examination of HMM-based investment strategies for asset allocation |
scientific article; zbMATH DE number 6227413 |
Statements
An examination of HMM-based investment strategies for asset allocation (English)
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15 November 2013
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multivariate HMM filtering method
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regime switching model
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portfolio choice
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Sharpe ratio
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investment
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trading strategy
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0.8672534823417664
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0.7882004976272583
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0.7691053748130798
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0.7641392946243286
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