Strategic asset allocation under a fractional hidden Markov model (Q479173)
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scientific article; zbMATH DE number 6377131
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strategic asset allocation under a fractional hidden Markov model |
scientific article; zbMATH DE number 6377131 |
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Strategic asset allocation under a fractional hidden Markov model (English)
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5 December 2014
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strategic asset allocation
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long memory
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hidden Markov models
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fractional Gaussian VAR process
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mean-variance utility
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