An M-ary detection approach for asset allocation

DOI10.1016/J.CAMWA.2011.06.055zbMath1231.91401OpenAlexW1971279552MaRDI QIDQ660845

Robert J. Elliott, Tak Kuen Siu

Publication date: 5 February 2012

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.06.055

zbMATH Keywords

hidden Markov chainfilteringmodel uncertaintyasset allocationHJB dynamic programmingM-ary detection

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40) Portfolio theory (91G10)

Cites Work

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• Robust<tex>$M$</tex>-ary Detection Filters and Smoothers for Continuous-Time Jump Markov Systems
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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