Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Year of publication: |
November 2017
|
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Authors: | Zhu, Dong-Mei ; Lu, Jiejun ; Ching, Wai Ki ; Siu, Tak Kuen |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 66.2017, p. 223-232
|
Subject: | Expectation-Maximization (EM) Algorithm | Higher-Order Autoregressive Hidden Markov Model (HO-HMMAR) | Optimal asset allocation | Utility maximization | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
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