Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
| Author: | Christina Erlwein-Sayer, Stefanie Grimm, Peter Ruckdeschel, Jörn SassORCiD, Tilman Sayer |
|---|---|
| URL: | https://onlinelibrary.wiley.com/doi/full/10.1002/asmb.2491 |
| DOI: | https://doi.org/10.1002/asmb.2491 |
| ISSN: | 1526-4025 |
| Journal: | Applied Stochastic Models in Business and Industry |
| Secondary publication (full text): | https://dx.doi.org/10.2139/ssrn.2876807 |
| Publisher: | Wiley |
| Document Type: | Research Article |
| Language: | English |
| Date of first Publication: | 2019/11/21 |
| Release Date: | 2022/05/13 |
| Volume: | 36 |
| Issue: | 3 |
| Page Number: | 28 |
| First Page: | 307 |
| Last Page: | 334 |
| Faculties / Organisational entities: | RPTU in Kaiserslautern / Fachbereich Mathematik / Schwerpunkt Wirtschaftsmathematik / AG Finanzmathematik |
| Open access state: | Grün Open-Access |
| RPTU: | Kaiserslautern |
| Research funding: | DFG |
| Created at the RPTU: | Yes |