A method for portfolio choice

DOI10.1002/ASMB.482zbMath1039.91022OpenAlexW2025707587MaRDI QIDQ4455498

Juri Hinz, Robert J. Elliott

Publication date: 16 March 2004

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.482

zbMATH Keywords

hidden Markov modelsportfolio optimizationlogarithmic utilityball and urn experiment

Mathematics Subject Classification ID

Generalized stochastic processes (60G20)

Related Items (3)

Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM ⋮ A hidden Markov regime-switching model for option valuation ⋮ An examination of HMM-based investment strategies for asset allocation

Cites Work

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