Dynamic investment strategy with factor models under regime switches
type: Item
instance of: scholarly article
title: Dynamic investment strategy with factor models under regime switches
zbMATH Open document ID: 1368.91166
author: Takahiro Komatsu
author: Naoki Makimoto
published in: Asia-Pacific Financial Markets
publication date: 2017-08-17T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6761423
zbMATH Keywords: optimal portfolio
zbMATH Keywords: regime switch
zbMATH Keywords: multi-factor model
zbMATH Keywords: Bellman's equation
MaRDI profile type: Publication
full work available at URL: s10690-015-9200-8
OpenAlex ID: W2093995160
cites work: Statistical Inference for Probabilistic Functions of Finite State Markov Chains
cites work: Q5690490
cites work: Finite mixture and Markov switching models.
cites work: Stationarity of multivariate Markov-switching ARMA models
cites work: A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
cites work: Q4840212
cites work: Statistical analysis of finite mixture distributions
DOI: 10.1007/S10690-015-9200-8
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description: scientific article; zbMATH DE number 6761423