Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises

DOI10.1080/07362990701540543zbMath1125.60034OpenAlexW2016723623MaRDI QIDQ5421608

Shangzhen Luo

Publication date: 24 October 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701540543

zbMATH Keywords

EM algorithmhidden Markov modelasset allocationmean-variance portfolio selectionhidden Markov filter

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10)

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