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Type: Journal article
Title: Portfolio optimization, hidden Markov models, and technical analysis of P and F charts
Author: Elliott, R.
Hinz, J.
Citation: International Journal of Theoretical and Applied Finance, 2002; 5(4):385-399
Publisher: World Scientific Publishing Co Pte Ltd
Issue Date: 2002
ISSN: 0219-0249
Statement of
Robert Elliott; Juri Hinz
Abstract: In this work we introduce an adaptive method of portfolio optimization. The basic idea is to describe essential movements of the stock price using a hidden Markov model and to calculate the optimal portfolio using a recursive algorithm. The portfolio optimization is adaptive in the sense that the standard EM-algorithm fits the model to historical data, which improves the portfolio performance.
Keywords: Portfolio optimization
hidden Markov models.
Description: © World Scientific Publishing Company
DOI: 10.1142/S0219024902001493
Published version:
Appears in Collections:Applied Mathematics publications
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