HMM based scenario generation for an investment optimisation problem (Q1931635)
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scientific article; zbMATH DE number 6125679
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | HMM based scenario generation for an investment optimisation problem |
scientific article; zbMATH DE number 6125679 |
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HMM based scenario generation for an investment optimisation problem (English)
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15 January 2013
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scenario generation
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hidden Markov model
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geometric Brownian motion
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asset allocation
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optimal parameter estimation
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