An application of hidden Markov models to asset allocation problems

DOI10.1007/s007800050022zbMath0907.90022OpenAlexW1989738013MaRDI QIDQ1267816

John van der Hoek, Robert J. Elliott

Publication date: 9 March 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050022

zbMATH Keywords

parameter estimationfilteringhidden Markov modelsportfolio selectiondiscrete time asset allocation

Mathematics Subject Classification ID

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