Holdings of financial assets: A Markov chain analysis

John S. Anderson and Kenneth Clements

Statistics & Probability Letters, 1982, vol. 1, issue 1, 36-40

Abstract: This paper introduces the Markov chain model as a simple tool for analyzing the pattern of financial asset holdings over time. The model is based on transition probabilities which give the probability of switching $1 of wealth from one asset to another. An illustrative application is provided.

Keywords: Financial; asset; holdings; Markov; chain; maximum; likelihood; estimation; of; transition; probabilities; with; aggregate; time; series; data; multivariate; stock; adjustment; model (search for similar items in EconPapers)
Date: 1982
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Working Paper: Holdings of Financial Assets: A markov chain analysis (1981)
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