The Regime Switching Portfolios
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 2 (May)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Markov switching model; Continuous-and discrete-time regime switching; Log mean-variance; Portfolio selection; EM algorithm;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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