HMM based scenario generation for an investment optimisation problem
type: Item
instance of: scholarly article
title: HMM based scenario generation for an investment optimisation problem
zbMATH Open document ID: 1254.91763
author: Christina Erlwein
author: Gautam Mitra
author: D. Roman
published in: Annals of Operations Research
publication date: 2013-01-15T00:00:00Z
full work available at URL: http://bura.brunel.ac.uk/handle/2438/7491
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6125679
zbMATH Keywords: scenario generation
zbMATH Keywords: hidden Markov model
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: asset allocation
zbMATH Keywords: optimal parameter estimation
describes a project that uses: AMPL
MaRDI profile type: Publication
OpenAlex ID: W2153836606
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DOI: 10.1007/S10479-011-0865-8
description: scientific article; zbMATH DE number 6125679