IEEE - Institute of Electrical and Electronics Engineers, Inc. - Sector rotation under partial information

2006 American Control Conference

Author(s): S. Keel ; F. Herzog ; H.P. Geering ; L.M. Schumann
Sponsor(s): American Automatic Control Council
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 January 2006
Conference Location: Minneapolis, MN, USA
Conference Date: 14 June 2006
Page Count: 7
ISBN (Paper): 1-4244-0209-3
ISBN (Online): 1-4244-0210-7
DOI: 10.1109/ACC.2006.1656388
Regular:

In the area of optimal asset allocation, the parameters of the model are often assumed to be deterministic. This is not a realistic assumption since most parameters are not known exactly and... View More

Advertisement