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FACTORS INFLUENCING PORTFOLIO SELECTION: A SIMPLE MODEL

✍ Scribed by Karl W. Roskamp

Book ID: 110941613
Publisher: John Wiley and Sons
Year: 1967
Tongue: English
Weight: 395 KB
Volume: 20
Category: Article
ISSN: 0023-5962
DOI: 10.1111/j.1467-6435.1967.tb00862.x

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## Abstract We consider a utility‐based portfolio selection problem, where the parameters change according to a Markovian market that cannot be observed perfectly. The market consists of a riskless and many risky assets whose returns depend on the state of the unobserved market process. The states