An application of hidden Markov models to asset allocation problems (*)

Filtering and parameter estimation techniques from hidden Markov Models are applied to a discrete time asset allocation problem. For the commonly used mean-variance utility explicit optimal strategies are obtained.

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Year of publication:	1997
Authors:	Elliott, Robert J. ; Hoek, John van der
Published in:	Finance and Stochastics. - Springer. - Vol. 1.1997, 3, p. 229-238
Publisher:	Springer
Subject:	Hidden Markov models \| asset allocation \| portfolio selection

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Extent:	application/pdf application/postscript
Type of publication:	Article
Notes:	received: December 1995 / final version received: August 1996
Classification:	C13 - Estimation ; E44 - Financial Markets and the Macroeconomy ; G2 - Financial Institutions and Services
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005759641