Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Dong-Mei Zhu, Jiejun Lu, Wai-Ki Ching, Tak-Kuen Siu
| 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
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| Subject: | Expectation-Maximization (EM) Algorithm | Higher-Order Autoregressive Hidden Markov Model (HO-HMMAR) | Optimal asset allocation | Utility maximization | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.07.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011813727