Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises (Q5421608)
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scientific article; zbMATH DE number 5204518
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises |
scientific article; zbMATH DE number 5204518 |
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Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises (English)
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24 October 2007
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asset allocation
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EM algorithm
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hidden Markov filter
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hidden Markov model
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mean-variance portfolio selection
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