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Mixed-asset portfolio allocation under mean-reverting asset returns.
Charles-Olivier Amédée-Manesme
Fabrice Barthélémy
Philippe Bertrand
Jean-Luc Prigent
Published in:
Ann. Oper. Res. (2019)
Keyphrases
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asset allocation
transaction costs
portfolio management
portfolio theory
sharpe ratio
asset management
decision making
database
case study
hidden markov models
decision makers
optimal allocation
portfolio optimization