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Dynamic portfolio optimization across hidden market regimes - MaRDI portal

Dynamic portfolio optimization across hidden market regimes (Q4554411)

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scientific article; zbMATH DE number 6979448
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English
Dynamic portfolio optimization across hidden market regimes
scientific article; zbMATH DE number 6979448

    Statements

    title
    Dynamic portfolio optimization across hidden market regimes (English)
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    author
    Peter Nystrup
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    Henrik Madsen
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    Erik Lindström
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    publication date
    14 November 2018
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    zbMATH Keywords
    multi-period portfolio selection
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    mean-variance optimization
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    model predictive control
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    hidden Markov model
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    adaptive estimation
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    forecasting
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    describes a project that uses
    ECOS
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    CVXPY
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    cites work
    Q4821526
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    Q3425116
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    Q4139463
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    Q4864293
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    Q5821521
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    Identifiers

    zbMATH DE Number
    6979448
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    Wikidata QID
    Q60398218
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    OpenAlex ID
    W2736767837
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