Dynamic investment strategy with factor models under regime switches
Takahiro Komatsu; Naoki Makimoto
| Year of publication: |
2015
|
|---|---|
| Authors: | Komatsu, Takahiro ; Makimoto, Naoki |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 2, p. 209-237
|
| Subject: | Optimal portfolio | Regime switch | Multi-factor model | Bellman’s equation | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process |
| 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://www.econbiz.de/10011377533