HMM based scenario generation for an investment optimisation problem (Q1931635)
From MaRDI portal
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
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
0 references
