Portfolio optimization with Markov-modulated stock prices and interest rates.
Nicole BäuerleUlrich RiederPublished in: IEEE Trans. Autom. Control. (2004)
Keyphrases
- portfolio optimization
- stock price
- markov modulated
- poisson process
- stock exchange
- stock market
- portfolio management
- non stationary
- historical data
- exchange rate
- news articles
- financial markets
- arrival rate
- financial data
- investment decisions
- financial time series
- short term
- factor analysis
- problems involving
- long term
- multistage
- text classification
- np hard