The regime switching portfolios (Q538326)
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scientific article; zbMATH DE number 5899522
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The regime switching portfolios |
scientific article; zbMATH DE number 5899522 |
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The regime switching portfolios (English)
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25 May 2011
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Markov switching model
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continuous-time regime switching
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discrete-time regime switching
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log mean-variance
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portfolio selection
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EM algorithm
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