Bayesian nonparametric portfolio selection with rolling maximum drawdown control-Reference-Cited by-同舟云学术

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Bayesian nonparametric portfolio selection with rolling maximum drawdown control

Published:2023-09-10 Issue:10 Volume:23 Page:1497-1510
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Mei Xiaoling¹²,Wang Yachong²,Zhu Weixuan¹³^ORCID

Affiliation:

1. Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen, People's Republic of China

2. Department of Finance, School of Economics, Xiamen University, Xiamen, People's Republic of China

3. Department of Statistics and Data Science, School of Economics, Xiamen University, Xiamen, People's Republic of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2250386

Reference24 articles.

1. Dynamic asset allocation for varied financial markets under regime switching framework

2. Transaction costs and predictability: some utility cost calculations

3. Markov-switching asset allocation: Do profitable strategies exist?

4. Are financial market states recurrent and persistent?

5. Model Predictive Control for Dynamic Resource Allocation

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