Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/460
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Hinz, J. | - |
dc.date.issued | 2002 | - |
dc.identifier.citation | International Journal of Theoretical and Applied Finance, 2002; 5(4):385-399 | - |
dc.identifier.issn | 0219-0249 | - |
dc.identifier.issn | 1793-6322 | - |
dc.identifier.uri | http://hdl.handle.net/2440/460 | - |
dc.description | © World Scientific Publishing Company | - |
dc.description.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. | - |
dc.description.statementofresponsibility | Robert Elliott; Juri Hinz | - |
dc.language.iso | en | - |
dc.publisher | World Scientific Publishing Co Pte Ltd | - |
dc.source.uri | http://www.worldscinet.com/cgi-bin/details.cgi?id=pii:S0219024902001493&type=html | - |
dc.subject | Portfolio optimization | - |
dc.subject | hidden Markov models. | - |
dc.title | Portfolio optimization, hidden Markov models, and technical analysis of P and F charts | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1142/S0219024902001493 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Applied Mathematics publications Aurora harvest |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.