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Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations - MaRDI portal

Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations

From MaRDI portal
Publication:6576843

DOI10.1002/asmb.2491MaRDI QIDQ6576843

Christina Erlwein-Sayer, Tilman Sayer, Jörn Sass, Stefanie Grimm, Peter Ruckdeschel

Publication date: 23 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)






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