Monte Carlo Regime-dependent Simulated Portfolio Construction

The code enhances the construction of regime-dependent portfolio using simulated returns from a MC process and compares the efficient frontiers and the portfolio optimality in weights of the simulated against actual portfolio returns

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2025-03-17
DOI
https://doi.org/10.5281/zenodo.15037818
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
0.00
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article

Monte Carlo Regime-dependent Simulated Portfolio Construction

Zenodo (CERN European Organization for Nuclear Research)
Financial Markets and Investment Strategies
article

Monte Carlo Regime-dependent Simulated Portfolio Construction

article en

Abstract

The code enhances the construction of regime-dependent portfolio using simulated returns from a MC process and compares the efficient frontiers and the portfolio optimality in weights of the simulated against actual portfolio returns

Zenodo (CERN European Organization for Nuclear Research)
Industry, innovation and infrastructure
Openalex Percentile: Top 43%
Financial Markets and Investment Strategies
DOIOpen Access PDFOpenAlex
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Monte Carlo Regime-dependent Simulated Portfolio Construction · Zenodo (CERN European Organization for Nuclear Research) (2025) | TGRS Research Map | TGRS