Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European Journal of Operational Research 234 (2014) 2, pp. 450-458
Asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008. Portfolio optimization is the most developed method to examine the optimal decision for asset allocation. We employ the hidden Markov model to identify...
