Tactical asset allocation using the Kalman filter-Reference-Cited by-同舟云学术

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Tactical asset allocation using the Kalman filter

Published:2022-07-03 Issue:3 Volume:51 Page:202-215
ISSN:1029-3523
Container-title:Investment Analysts Journal
language:en
Short-container-title:Investment Analysts Journal

Author:

van Rooyen Reder¹^ORCID,van Vuuren Gary²^ORCID

Affiliation:

1. Department of Mathematics and Applied Mathematics, Faculty of Natural and Agricultural Sciences, University of Pretoria, Pretoria, South Africa

2. Centre for Business Mathematics and Informatics, North-West University, Potchefstroom Campus, Potchefstroom, South Africa

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/10293523.2022.2090087

Reference27 articles.

1. Tracking Error and Tactical Asset Allocation

2. A Simplified Approach to Understanding the Kalman Filter Technique

3. Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

4. Introduction to Time Series and Forecasting

5. Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering

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