Multi-period Portfolio Optimisation Using a Regime-Switching Predictive Framework
Author:
Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-49951-7_1
Reference14 articles.
1. Pomorski, P., Gorse, D.: Improving on the Markov-switching regression model by the use of an adaptive moving average. In: New Perspectives and Paradigms in Applied Economics and Business: Select Proceedings of the 2022 6th International Conference on Applied Economics and Business, pp. 17–30. Springer (2023)
2. Kaufman, P.: Smarter Trading: Improving Performance in Changing Markets. McGraw-Hill, New York, USA (1995)
3. Samuelson, P.A.: Lifetime portfolio selection by dynamic stochastic programming. In: Stochastic Optimization Models in Finance, pp. 517–524 (1975)
4. Boyd, S., Busseti, E., Diamond, S., Kahn, R.N., Koh, K., Nystrup, P., Speth, J., et al.: Multi-period trading via convex optimization. Found. Trends® Optim. 3(1), 1–76 (2017)
5. Li, X., Uysal, A.S., Mulvey, J.M.: Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. Eur. J. Oper. Res. 299(3), 1158–1176 (2022)
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