Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises |
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Authors: | Shangzhen Luo |
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Institution: | 1. Department of Mathematics , University of Northern Iowa , Cedar Falls, Iowa, USA luos@ uni.edu |
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Abstract: | Abstract Techniques of filtering and parameter reestimation of a general hidden Markov model are developed and applied to a discrete time multi-period asset allocation problem, where a commonly used mean-variance utility is considered and recursive calculation of an explicit optimal portfolio is provided. Our result is a generalization of that by Robert J. Elliott and John van der Hoek. |
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Keywords: | Asset allocation EM algorithm Hidden Markov filter Hidden Markov model Mean-variance portfolio selection |
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