A method for portfolio choice

被引：4
|
作者：
Elliott, R
Hinz, J [1 ]
机构：
[1] Univ Tubingen, Math Inst, D-72076 Tubingen, Germany
[2] Univ Calgary, Fac Management, Calgary, AB T2N 1N4, Canada
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2003年 / 19卷 / 01期
关键词：
hidden Markov models; portfolio optimization; logarithmic utility;
D O I：
10.1002/asmb.482
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper shows how one can use the theory of hidden Markov models for portfolio optimization. We illustrate our method by a ball and urn experiment. An application to historical data is examined. Copyright (C) 2003 John Wiley Sons, Ltd.
引用
收藏
页码：1 / 11
页数：11
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