A method for portfolio choice

Robert Elliott; Juri Hinz

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A method for portfolio choice

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摘要

This paper shows how one can use the theory of hidden Markov models for portfolio optimization. We illustrate our method by a ball and urn experiment. An application to historical data is examined.

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来源
《Applied stochastic models in business and industry》 |2003年第1期|1-11|共11页
作者
Robert Elliott; Juri Hinz;
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原文格式 PDF
正文语种英语
中图分类应用数学;
关键词
Hidden Markov models; Portfolio optimization; Logarithmic utility;

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A method for portfolio choice

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