An examination of HMM-based investment s
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Christina Erlwein; Rogemar Mamon; Matt Davison
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Article
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2009
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John Wiley and Sons
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English
โ 344 KB
We develop and analyse investment strategies relying on hidden Markov model approaches. In particular, we use filtering techniques to aid an investor in his decision to allocate all of his investment fund to either growth or value stocks at a given time. As this allows the investor to switch between