An M-ary detection approach for asset allocation
From MaRDI portal
Publication:660845
DOI10.1016/j.camwa.2011.06.055zbMath1231.91401MaRDI QIDQ660845
Robert J. Elliott, Tak Kuen Siu
Publication date: 5 February 2012
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.06.055
hidden Markov chain; filtering; model uncertainty; asset allocation; HJB dynamic programming; M-ary detection
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
65C40: Numerical analysis or methods applied to Markov chains
91G10: Portfolio theory
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