An adaptive regime-switching regression model for hedge funds

DOI10.1093/IMAMAN/DPT005zbMath1286.91125OpenAlexW2316018698MaRDI QIDQ5414104

Marlene Müller, Christina Erlwein

Publication date: 2 May 2014

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpt005

zbMATH Keywords

filteringswitching regression modelhedge fundsoptimal parameter estimation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Linear inference, regression (62J99) Portfolio theory (91G10)

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