HMM based scenario generation for an investment optimisation problem

DOI10.1007/s10479-011-0865-8zbMath1254.91763OpenAlexW2153836606MaRDI QIDQ1931635

Diana Roman, Christina Erlwein, Gautam Mitra

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/7491

zbMATH Keywords

hidden Markov modelgeometric Brownian motionscenario generationasset allocationoptimal parameter estimation

Mathematics Subject Classification ID

Economic time series analysis (91B84) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

An algorithm for moment-matching scenario generation with application to financial portfolio optimisation ⋮ MODELING THE MOTION OF A MECHANICAL SYSTEM CONSISTING OF DEFORMABLE ELASTIC BODIES, BY INTEGRATING TWO PACKAGES: EULER AND FIDESYS ⋮ A study on modeling the dynamics of statistically dependent returns

Uses Software

• AMPL

Cites Work

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