An Application of Hidden Markov Models to Asset Allocation Problems
Download or Read eBook An Application of Hidden Markov Models to Asset Allocation Problems PDF written by Robert J. Elliott and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle.
Author | : Robert J. Elliott |
Publisher | : |
Total Pages | : |
Release | : 1998 |
ISBN-10 | : OCLC:1291271672 |
ISBN-13 | : |
Rating | : 4/5 (72 Downloads) |
Book Synopsis An Application of Hidden Markov Models to Asset Allocation Problems by : Robert J. Elliott
Book excerpt: Filtering and parameter estimation techniques from Hidden Markov Models are applied to a discrete time asset allocation problem. For the commonly used mean-variance utility explicit optimal strategies are obtained.