Mu Tian

Stevens Institute of Technology - School of Business

Hoboken, NJ 07030

United States

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Scholarly Papers (1)

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Double Sampling Kalman Filter with Applications in Investment Fund Reconstruction Problems

Posted: 09 Dec 2018
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology

Abstract:

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Kalman Filter, Filtering, Portfolio Replication, Portfolio Reconstruction, Jump Detection