Permanent shocks, signal extraction, and portfolio selection

DOI10.1016/J.JEDC.2018.04.005zbMath1401.91522OpenAlexW2800400626WikidataQ129908444 ScholiaQ129908444MaRDI QIDQ1657607

K. Korhan Nazliben, Juan Carlos Rodríguez

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.04.005

zbMATH Keywords

Kalman filtermean reversionportfolio selection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Strategic asset allocation
• What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio

This page was built for publication: Permanent shocks, signal extraction, and portfolio selection