A Multivariate Markov Switching Model for Portfolio Optimization
碩士 === 國立中央大學 === 統計研究所 === 105 === This thesis proposes a multivariate Markov switching model with two regimes indicating the bull and bear market, respectively. Following the seminal mean-variance analysis framework \cite{Mark}, we propose a method to calculate the optimal portfolio weight based...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/y3ez46 |