Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations (Q6576843)
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scientific article; zbMATH DE number 7885143
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations |
scientific article; zbMATH DE number 7885143 |
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Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations (English)
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23 July 2024
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filtering
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multivariate HMM
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portfolio optimization
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regime-switching model
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