The regime switching portfolios

DOI10.1007/S10690-010-9129-XzbMath1278.91144OpenAlexW2146942844MaRDI QIDQ538326

Hiroshi Ishijima, Masaki Uchida

Publication date: 25 May 2011

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

Full work available at URL: https://doi.org/10.1007/s10690-010-9129-x

zbMATH Keywords

EM algorithmportfolio selectionMarkov switching modelcontinuous-time regime switchingdiscrete-time regime switchinglog mean-variance

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; risk measures (91G70) Markov processes: hypothesis testing (62M02) Portfolio theory (91G10)

Related Items (3)

Stability analysis for stochastic hybrid systems: a survey ⋮ Log mean-variance portfolio selection under regime switching ⋮ Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization

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