Strategic asset allocation and Markov Regime Switch with GARCH
Wei W. Simi
| Year of publication: |
2013
|
|---|---|
| Authors: | Simi, Wei W. |
| Published in: |
The journal of business and economic studies. - Newark, NJ : School of Management, New Jersey Institute of Technology, ISSN 1063-343X, ZDB-ID 1193519-4. - Vol. 19.2013, 1, p. 41-51
|
| Subject: | asset allocation | volatility | regime switching | GARCH | portfolio optimization | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Volatilität | Volatility | Markov-Kette | Markov chain | Theorie | Theory | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| 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/10009776452