PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS

DOI10.1142/S0219024902001493zbMath1107.91331MaRDI QIDQ3022050

Juri Hinz, Robert J. Elliott

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001493

zbMATH Keywords

hidden Markov models; portfolio optimization

Mathematics Subject Classification ID

91G10: Portfolio theory

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Cites Work

• Maximum-likelihood estimation for hidden Markov models
• An application of hidden Markov models to asset allocation problems
• Estimating the implicit interest rate of a risky asset
• Exact adaptive filters for Markov chains observed in Gaussian noise
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• Hidden Markov Models for Speech Recognition