HMM based scenario generation for an investment optimisation problem
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Publication:1931635
DOI10.1007/s10479-011-0865-8zbMath1254.91763OpenAlexW2153836606MaRDI QIDQ1931635
Diana Roman, Christina Erlwein, Gautam Mitra
Publication date: 15 January 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://bura.brunel.ac.uk/handle/2438/7491
hidden Markov modelgeometric Brownian motionscenario generationasset allocationoptimal parameter estimation
Economic time series analysis (91B84) Financial applications of other theories (91G80) Portfolio theory (91G10)
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Uses Software
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