Dynamic allocations for currency futures under switching regimes signals
DOI10.1016/J.EJOR.2016.02.024zbMATH Open1346.91220OpenAlexW2280456455MaRDI QIDQ323115FDOQ323115
Authors: Lorenzo Reus, John M. Mulvey 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.02.024
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investment analysiscarry tradecurrency futuresmean-semivariance portfolio optimizationregime identification
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Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
- Mean-semivariance models for fuzzy portfolio selection
- Asset allocation under multivariate regime switching
- Hidden Markov Models and Dynamical Systems
- Dynamic asset allocation for varied financial markets under regime switching framework
- Hidden Markov models in finance. Further developments and applications. Volume II
- Hidden Markov models. Applications to financial economics.
- Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
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