Optimal allocation of a futures portfolio utilizing numerical market phase detection

DOI10.1137/090754029zbMATH Open1198.91241OpenAlexW2052377983MaRDI QIDQ3055871FDOQ3055871

Authors: Lars Putzig, Dirk Becherer, Illia Horenko 

Publication date: 10 November 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090754029

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zbMATH Keywords

clusteringregressioninvestmentportfolio optimizationeconomic time series analysismarket phases

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cited In (1)

• Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering

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