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

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