An examination of HMM-based investment strategies for asset allocation (Q2862422)
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scientific article; zbMATH DE number 6227413
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An examination of HMM-based investment strategies for asset allocation |
scientific article; zbMATH DE number 6227413 |
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An examination of HMM-based investment strategies for asset allocation (English)
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15 November 2013
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multivariate HMM filtering method
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regime switching model
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portfolio choice
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Sharpe ratio
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investment
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trading strategy
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