Cluster analysis for regime identification and forecasting with application to the enhanced index tracking problem
Wanderlei Lima de Paulo; Oswaldo Luiz do Valle Costa
| Year of publication: |
2014
|
|---|---|
| Authors: | Paulo, Wanderlei Lima de ; Costa, Oswaldo Luiz do Valle |
| Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 11.2014, 3, p. 44-52
|
| Subject: | switching regime | cluster analysis | enhanced index tracking | Markov process | Clusteranalyse | Cluster analysis | Markov-Kette | Markov chain | Theorie | Theory | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Aktienindex | Stock index |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010512184