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

MoreLess

Year of publication:	[1998]
Authors:	Elliott, Robert J.
Other Persons:	Hoek, John van der (contributor)
Publisher:	[1998]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

More details
Report error

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: FINANCE AND STOCHASTICS, Vol. 1 No. 3, 1997 Volltext nicht verfügbar
Classification:	C13 - Estimation ; E44 - Financial Markets and the Macroeconomy ; G2 - Financial Institutions and Services
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012790846