An M-ary detection approach for asset allocation

DOI10.1016/j.camwa.2011.06.055zbMath1231.91401MaRDI QIDQ660845

Robert J. Elliott, Tak Kuen Siu

Publication date: 5 February 2012

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.06.055

zbMATH Keywords

hidden Markov chain; filtering; model uncertainty; asset allocation; HJB dynamic programming; M-ary detection

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

65C40: Numerical analysis or methods applied to Markov chains

91G10: Portfolio theory

Cites Work

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