A portfolio optimization model with regime-switching risk factors for sector exchange traded funds (PJO)
Volume 7
Number 2
pp.281-296
A portfolio optimization model with regime-switching risk factors for sector exchange traded funds
Meiju Luo and Guihua Lin
Key words
Mathematices Subject Classification
sector exchange traded fund, factor risk neutral, Markov regime switching, factor risk, portfolio optimization
90C15, 90C05, 91G10, 91B30
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