Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase Detection

This paper presents an application of the recently developed method for simultaneous dimension reduction and metastability analysis of high-dimensional time series in the context of computational finance. Further extensions are included to combine state-specific principal component analysis (PCA) an...

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Veröffentlicht in:	SIAM journal on financial mathematics 2010-01, Vol.1 (1), p.752-779
Hauptverfasser:	Putzig, L., Becherer, D., Horenko, I.
Format:	Artikel
Sprache:	eng
Schlagworte:	Futures Futures market Investment policy Mathematical analysis Mathematical models Portfolio management Principal components analysis Studies
Online-Zugang:	Volltext
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