Faculty Publications
Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
Document Type
Article
Keywords
Asset allocation, EM algorithm, Hidden Markov filter, Hidden Markov model, Mean-variance portfolio selection
Journal/Book/Conference Title
Stochastic Analysis and Applications
Volume
25
Issue
5
First Page
1057
Last Page
1078
Abstract
Techniques of filtering and parameter reestimation of a general hidden Markov model are developed and applied to a discrete time multi-period asset allocation problem, where a commonly used mean-variance utility is considered and recursive calculation of an explicit optimal portfolio is provided. Our result is a generalization of that by Robert J. Elliott and John van der Hoek.
Department
Department of Mathematics
Original Publication Date
9-1-2007
DOI of published version
10.1080/07362990701540543
Recommended Citation
Luo, Shangzhen, "Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises" (2007). Faculty Publications. 2572.
https://scholarworks.uni.edu/facpub/2572
