Portfolio selection based on market states acquired via price and non-price data
Abstract Financial markets exhibit quasi-stationary patterns, known as market states, which previous studies have identified through the correlation structure of asset returns using clustering techniques. In this paper, we propose a novel approach to the portfolio selection problem by leveraging mar...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2025-04-01
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| Series: | Discover Data |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/s44248-025-00035-5 |
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