✦ LIBER ✦

A method for portfolio choice

✍ Scribed by Robert Elliott; Juri Hinz

Publisher: John Wiley and Sons
Year: 2003
Tongue: English
Weight: 157 KB
Volume: 19
Category: Article
ISSN: 1524-1904
DOI: 10.1002/asmb.482

No coin nor oath required. For personal study only.

✦ Synopsis

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.

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