The regime switching portfolios

DOI10.1007/s10690-010-9129-xzbMath1278.91144MaRDI QIDQ538326

Hiroshi Ishijima, Masaki Uchida

Publication date: 25 May 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9129-x

zbMATH Keywords

EM algorithm; portfolio selection; Markov switching model; continuous-time regime switching; discrete-time regime switching; log mean-variance

Mathematics Subject Classification ID

62H30: Classification and discrimination; cluster analysis (statistical aspects)

91G70: Statistical methods; risk measures

62M02: Markov processes: hypothesis testing

91G10: Portfolio theory

Related Items

Stability analysis for stochastic hybrid systems: a survey, Log mean-variance portfolio selection under regime switching, Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization

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