High-order Markov-switching portfolio selection with capital gain tax.
Sini GuoWai-Ki ChingPublished in: Expert Syst. Appl. (2021)
Keyphrases
- high order
- portfolio selection
- higher order
- portfolio optimization
- low order
- pairwise
- markov chain
- financial markets
- markov random field
- robust optimization
- markov model
- optimal portfolio
- long term
- low rank
- lower order
- image processing
- bayesian logistic regression
- multiple objectives
- bayesian networks
- similarity measure