The Dependence Structure and Portfolio Optimization in Economic Cycles: An Application in ASEAN Stock Market.
Jittima SingvejsakulChukiat ChaiboonsriSongsak SriboonchittaPublished in: IUKM (2019)
Keyphrases
- portfolio optimization
- stock market
- dependence structure
- investment decisions
- stock exchange
- stock price
- short term
- portfolio management
- financial time series
- marginal distributions
- financial data
- markov networks
- long term
- financial markets
- trading strategies
- random variables
- probability distribution
- trading systems
- problems involving
- decision support system
- multi objective
- machine learning