Portfolio optimization, hidden Markov models, and technical analysis of P and F charts

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dc.contributor.authorElliott, R.
dc.contributor.authorHinz, J.
dc.date.issued2002
dc.description© World Scientific Publishing Company
dc.description.abstractIn 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.statementofresponsibilityRobert Elliott; Juri Hinz
dc.identifier.citationInternational Journal of Theoretical and Applied Finance, 2002; 5(4):385-399
dc.identifier.doi10.1142/S0219024902001493
dc.identifier.issn0219-0249
dc.identifier.issn1793-6322
dc.identifier.urihttp://hdl.handle.net/2440/460
dc.language.isoen
dc.publisherWorld Scientific Publishing Co Pte Ltd
dc.source.urihttp://www.worldscinet.com/cgi-bin/details.cgi?id=pii:S0219024902001493&type=html
dc.subjectPortfolio optimization
dc.subjecthidden Markov models.
dc.titlePortfolio optimization, hidden Markov models, and technical analysis of P and F charts
dc.typeJournal article
pubs.publication-statusPublished

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