We develop and analyse investment strategies relying on hidden Markov model approaches. In particular, we use filtering techniques to aid an investor in his decision to allocate all of his investment fund to either growth or value stocks at a given time. As this allows the investor to switch between
β¦ LIBER β¦
An analysis of risk-based asset allocation and portfolio insurance strategies
β Scribed by Lan-chih Ho; John Cadle; Michael Theobald
- Publisher
- Springer US
- Year
- 2010
- Tongue
- English
- Weight
- 520 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0924-865X
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