Dynamic portfolio optimization across hidden market regimes
Peter Nystrup, Henrik Madsen and Erik Lindström
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Nystrup, Peter ; Madsen, Henrik ; Lindström, Erik |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 1, p. 83-95
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| Subject: | Multi-period portfolio selection | Mean–variance optimization | Model predictive control | Hidden Markov model | Adaptive estimation | Forecasting | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1342857 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905831