HMM based scenario generation for an investment optimisation problem (Q1931635): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: A new look at the statistical model identification / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact adaptive filters for Markov chains observed in Gaussian noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4323296 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: An examination of HMM-based investment strategies for asset allocation / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Innovest Austrian Pension Fund Financial Planning Model InnoALM / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive conditional heteroskedasticity and changes in regime / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Regime-Switching Model of Long-Term Stock Returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: A heuristic for moment-matching scenario generation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5444109 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive signal processing of asset price dynamics with predictability analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hidden Markov models for scenario generation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to financial optimization: Mathematical programming special issue / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2724706 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hidden Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hidden Markov models for financial optimization problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the optimal filtering of diffusion processes / rank
 
Normal rank

Latest revision as of 01:58, 6 July 2024

scientific article
Language Label Description Also known as
English
HMM based scenario generation for an investment optimisation problem
scientific article

    Statements

    HMM based scenario generation for an investment optimisation problem (English)
    0 references
    0 references
    0 references
    0 references
    15 January 2013
    0 references
    scenario generation
    0 references
    hidden Markov model
    0 references
    geometric Brownian motion
    0 references
    asset allocation
    0 references
    optimal parameter estimation
    0 references

    Identifiers