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Type: Conference paper
Title: A continuous-time hidden Markov model for mean-variance portfolio optimization
Author: Elliott, R.J.
Tak, K.S.
Citation: IEEE International Symposium on Circuits and Systems, 2009, pp.1189-1192
Publisher: IEEE
Issue Date: 2009
Series/Report no.: IEEE International Symposium on Circuits and Systems
ISBN: 9781424438280
ISSN: 0271-4310
Conference Name: 2009 IEEE International Symposium on Circuits and Systems (ISCAS 2009) (24 May 2009 - 27 May 2009 : Taipei, Taiwan)
Statement of
Robert J. Elliott, Tak Kuen Siu
Abstract: We study a mean-variance portfolio selection problem under a hidden Markov regime-switching Black-Scholes-Merton economy with parameter uncertainty. By exploiting the separation principle, we solve the mean-variance portfolio selection problem and the filtering/estimation problem separately. An explicit solution to the mean-variance problem is derived using the stochastic maximum principle. Robust filters of the chain and robust-based EM algorithm for unknown model parameters are developed.
Rights: ©2009 IEEE
DOI: 10.1109/ISCAS.2009.5117974
Appears in Collections:Aurora harvest 2
Mathematical Sciences publications

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