A method for portfolio choice

DOI10.1002/ASMB.482MaRDI QIDQ4455498zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Juri Hinz

Publication date 16 March 2004

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.482

zbMATH Keywords

ball and urn experimenthidden Markov modelslogarithmic utilityportfolio optimization

Mathematics Subject Classification ID

Generalized stochastic processes (60G20)

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(13)

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• Positional strategy of forming the investment portfolio
• Portfolio decision analysis with a generalized balance approach
• A novel methodology for perception-based portfolio management
• An examination of HMM-based investment strategies for asset allocation
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• Notes on the Markowitz portfolio selection method
• scientific article; zbMATH DE number 5077026 (Why is no real title available?)
• A multi‐criterion approach for selecting attractive portfolio
• Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
• Selecting a discrete portfolio
• PORTFOLIO SELECTION USING LEVEL CROSSING ANALYSIS
• A hidden Markov regime-switching model for option valuation

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