Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model
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More about this item
KeywordsPortfolio; Bayesian; Hidden Markov Model; Gaussian Mixture;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fieldsThis paper has been announced in the following NEP Reports:
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