The Regime Switching Portfolios

Hiroshi Ishijima () and Masaki Uchida ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 2, 167-189

Keywords: Markov switching model; Continuous-and discrete-time regime switching; Log mean-variance; Portfolio selection; EM algorithm (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9129-x

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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