An application of hidden Markov models to asset allocation problems (*)

Robert J. Elliott and John van der Hoek
Additional contact information
Robert J. Elliott: Department of Mathematical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1
John van der Hoek: Department of Applied Mathematics, University of Adelaide, Adelaide, South Australia 5005

Finance and Stochastics, 1997, vol. 1, issue 3, 229-238

Abstract: Filtering and parameter estimation techniques from hidden Markov Models are applied to a discrete time asset allocation problem. For the commonly used mean-variance utility explicit optimal strategies are obtained.

Keywords: Hidden Markov models; asset allocation; portfolio selection (search for similar items in EconPapers)
JEL-codes: C13 E44 G2 (search for similar items in EconPapers)
Date: 1997
Note: received: December 1995 / final version received: August 1996
References: Add references at CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://link.springer.de/link/service/journals/00780/papers/7001003/70010229.pdf (application/pdf)
http://link.springer.de/link/service/journals/0078 ... 01003/70010229.ps.gz (application/postscript)
Access to the full text of the articles in this series is restricted

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:1:y:1997:i:3:p:229-238

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().