Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

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Bibliographische Detailangaben
Veröffentlicht in:	Economic modelling
1. Verfasser:	Zhu, Dong-Mei (VerfasserIn)
Weitere Verfasser:	Lu, Jiejun (VerfasserIn), Ching, Wai Ki (VerfasserIn), Siu, Tak Kuen (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	November 2017
Schlagworte:	Expectation-Maximization (EM) Algorithm > Higher-Order Autoregressive Hidden Markov Model (HO-HMMAR) > Optimal asset allocation > Utility maximization > Aufsatz in Zeitschrift
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