Dynamic investment strategy with factor models under regime switches

DOI10.1007/s10690-015-9200-8zbMath1368.91166OpenAlexW2093995160MaRDI QIDQ2013300

Takahiro Komatsu, Naoki Makimoto

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-015-9200-8

zbMATH Keywords

optimal portfolioBellman's equationregime switchmulti-factor model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)

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