Dynamic portfolio optimization across hidden market regimes (Q4554411)
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scientific article; zbMATH DE number 6979448
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic portfolio optimization across hidden market regimes |
scientific article; zbMATH DE number 6979448 |
Statements
Dynamic portfolio optimization across hidden market regimes (English)
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14 November 2018
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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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