Dynamic portfolio optimization across hidden market regimes (Q4957232)
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scientific article; zbMATH DE number 7390933
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dynamic portfolio optimization across hidden market regimes |
scientific article; zbMATH DE number 7390933 |
Statements
Dynamic portfolio optimization across hidden market regimes (English)
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3 September 2021
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multi-period portfolio selection
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mean-variance optimization
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model predictive control
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hidden Markov model
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adaptive estimation
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forecasting
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0.9999997
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0.9131786
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0.8851427
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0.8763998
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0.8736197
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0.87152797
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0.87023336
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