A method for portfolio choice

Robert Elliott and Juri Hinz

Applied Stochastic Models in Business and Industry, 2003, vol. 19, issue 1, 1-11

Abstract: 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 © 2003 John Wiley & Sons, Ltd.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:19:y:2003:i:1:p:1-11

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