A Generalized Entropy Approach to Portfolio Selection under a Hidden Markov Model
Journal of Risk and Financial Management
; 15(8):337, 2022.
Article
in English
| ProQuest Central | ID: covidwho-2023840
Keywords
Business And Economics; hidden Markov model; entropy; dynamic portfolio optimization; Bayesian analysis; Sharpe ratio; return to entropy ratio; kernel density estimation; Financial instruments; Securities markets; Decision making; Volatility; Asset allocation; Capital assets; Portfolio investments; Probability distribution; Economic indicators; Equity; Portfolio performance; Variance analysis; COVID-19; Investor behavior; Parameter estimation; United States--US
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Prognostic study
Language:
English
Journal:
Journal of Risk and Financial Management
Year:
2022
Document Type:
Article
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