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Filter‐based portfolio strategies in an HMM setting with varying correlation parametrizations

Erlwein‐Sayer, Christina; Grimm, Stefanie; Ruckdeschel, Peter; Sass, Jörn; Sayer, Tilman

期刊名称Applied Stochastic Models in Business and Industry
作者Erlwein‐Sayer, Christina; Grimm, Stefanie; Ruckdeschel, Peter; Sass, Jörn; Sayer, Tilman
印刷ISSN1524-1904
电子ISSN1526-4025
文件大小1235.35KB
发表时间2019-11-21
DOI10.1002/asmb.2491