Strategic asset allocation under a fractional hidden Markov model

DOI10.1007/s11009-012-9318-3zbMath1307.91160OpenAlexW1986523542MaRDI QIDQ479173

Robert J. Elliott, Tak Kuen Siu

Publication date: 5 December 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-012-9318-3

zbMATH Keywords

long memoryhidden Markov modelsfractional Gaussian VAR processmean-variance utilitystrategic asset allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

Related Items (2)

Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns ⋮ A data-driven approach for a class of stochastic dynamic optimization problems

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A filter for a hidden Markov chain observed in fractional Gaussian noise
• An application of hidden Markov models to asset allocation problems
• Stochastic calculus for fractional Brownian motion and related processes.
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Long-Term Memory in Stock Market Prices
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional differencing in discrete time

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