A Kalman filter control technique in mean-variance portfolio management
James DiLellio
| Year of publication: |
April 2015
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|---|---|
| Authors: | DiLellio, James A. |
| Published in: |
Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 39.2015, 2, p. 235-261
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| Subject: | Kalman Filter | Three Factor Model | Optimization | Investments | Zustandsraummodell | State space model | Portfolio-Management | Portfolio selection | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s12197-012-9244-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011471081