A generalized entropy approach to portfolio selection under a hidden markov model
Year of publication: |
2022
|
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Authors: | MacLean, Leonard C. ; Yu, Lijun ; Zhao, Yonggan |
Published in: |
Journal of Risk and Financial Management. - ISSN 1911-8074. - Vol. 15.2022, 8, p. 1-25
|
Publisher: |
Basel : MDPI |
Subject: | Bayesian analysis | dynamic portfolio optimization | entropy | hidden Markov model | kernel density estimation | return to entropy ratio | Sharpe ratio |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm15080337 [DOI] 1817894692 [GVK] hdl:10419/274859 [Handle] |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C32 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation ; G11 - Portfolio Choice |
Source: |
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