Portfolio optimization in hedge funds by OGARCH and Markov switching model
Cuicui Luo, Luis Seco, Lin-Liang Bill Wu
| Year of publication: |
2015
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|---|---|
| Authors: | Luo, Cuicui ; Seco, Luis ; Wu, Lin-Liang Bill |
| Published in: |
Omega : the international journal of management science. - Oxford [u.a.] : Elsevier, ISSN 0305-0483, ZDB-ID 124502-8. - Vol. 57.2015, part A, p. 34-39
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| Subject: | Orthogonal GARCH model | Markov-Switching Models | Portfolio optimization | Hedge funds | Mean-Variance | Sensitivity analysis | Portfolio-Management | Portfolio selection | Hedgefonds | Hedge fund | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Theorie | Theory | Kapitaleinkommen | Capital income | Hedging | Sensitivitätsanalyse |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.omega.2015.01.021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011416043