Building optimal regime-switching portfolios
Vito Ciciretti, Andrea Bucci
| Year of publication: |
2023
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|---|---|
| Authors: | Ciciretti, Vito ; Bucci, Andrea |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 64.2023, p. 1-12
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| Subject: | Eigenvector centrality | Graph theory | Hierarchical clustering | Portfolio construction | Portfolio optimization | Regime-switching | Portfolio-Management | Portfolio selection | Graphentheorie | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101837 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014246736