Development and Evaluation of a Portfolio Selection Model and Investment Algorithm utilizing a Markov Chain in the Foreign Exchange Market

Autor:	Jaeho Choi, Seongmoon Kim, Jongbin Jung
Rok vydání:	2015
Předmět:	Microeconomics Markov chain Sharpe ratio Economics Portfolio Post-modern portfolio theory Investment (macroeconomics) Foreign exchange market Selection (genetic algorithm) Nonlinear programming
Zdroj:	Journal of the Korean Operations Research and Management Science Society. 40:1-17
ISSN:	1225-1119
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::302428ab802cdd5da79851eaa261a303 https://doi.org/10.7737/jkorms.2015.40.2.001 Zobrazit plný text záznamu