Multi-period asset allocation under hidden markovianly driven noises
Asset allocation, EM algorithm, Hidden Markov filter, Hidden Markov model, Mean-variance portfolio selection
Stochastic Analysis and Applications
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.
Original Publication Date
DOI of published version
Luo, Shangzhen, "Multi-period asset allocation under hidden markovianly driven noises" (2007). Faculty Publications. 2572.