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2017
Mark Multi-Period Portfolio Selection with Drawdown Control
Peter, Nystrup ; Henrik, Madsen ; Boyd, Stephen and Lindström, Erik ^LU (2017) International Symposium on Forecasting, 2017
- Contribution to conference › Paper, not in proceeding
2016
Mark Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak
Peter, Nystrup ; Bo William, Hansson ; Madsen, Henrik and Lindström, Erik ^LU (2016) In Journal of Portfolio Management 42(1). p.103-109
- Contribution to journal › Article
2015
Mark Stylised facts of financial time series and hidden Markov models in continuous time
Peter, Nystrup ; Henrik, Madsen and Lindström, Erik ^LU (2015) In Quantitative Finance 15(9). p.1531-1541
- Contribution to journal › Article
Mark Regime-Based Versus Static Asset Allocation: Letting the Data Speak
Peter, Nystrup ; Bo William, Hansson ; Henrik, Madsen and Lindström, Erik ^LU (2015) In Journal of Portfolio Management 42(1). p.103-109
- Contribution to journal › Article

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