Multivariate regime switching model estimation and asset allocation
Kai Zheng, Weidong Xu, Xili Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Zheng, Kai ; Xu, Weidong ; Zhang, Xili |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 1, p. 165-196
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| Subject: | Asset allocation | Feature construction | Machine learning | Multi-variate Markov regime switching | Spectral clustering | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Künstliche Intelligenz | Artificial intelligence | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10203-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014228420