We examine autoregressive time series models that are subject to regime switching. These shifts are determined by the outcome of an unobserved two-state indicator variable that follows a Markov ...
Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 57, No. 1 (2008), pp. 75-87 (13 pages) Complex survey sampling is often used to sample a fraction of a large finite ...
We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).
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