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Information matrix for hidden Markov models with covariates

✍ Scribed by Bartolucci, Francesco; Farcomeni, Alessio

Book ID: 121553429
Publisher: Springer US
Year: 2014
Tongue: English
Weight: 293 KB
Volume: 25
Category: Article
ISSN: 0960-3174
DOI: 10.1007/s11222-014-9450-8

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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