Asset allocation under threshold autoregressive models
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Publication:5414497
DOI10.1002/asmb.897zbMath1286.91127MaRDI QIDQ5414497
Hailiang Yang, Na Song, Howell Tong, Tak Kuen Siu, Wa-Ki Ching
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.897
nonlinearity; stochastic dynamical system; dynamical programming; asset allocation; conditional heteroscedasticity; SETAR model; STAR model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
90C39: Dynamic programming
93E20: Optimal stochastic control
91G10: Portfolio theory
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