IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v1y1997i3p229-238.html
   My bibliography  Save this article

An application of hidden Markov models to asset allocation problems (*)

Author

Listed:
  • Robert J. Elliott

    (Department of Mathematical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1)

  • John van der Hoek

    (Department of Applied Mathematics, University of Adelaide, Adelaide, South Australia 5005)

Abstract

Filtering and parameter estimation techniques from hidden Markov Models are applied to a discrete time asset allocation problem. For the commonly used mean-variance utility explicit optimal strategies are obtained.

Suggested Citation

  • Robert J. Elliott & John van der Hoek, 1997. "An application of hidden Markov models to asset allocation problems (*)," Finance and Stochastics, Springer, vol. 1(3), pages 229-238.
    • Handle: RePEc:spr:finsto:v:1:y:1997:i:3:p:229-238
    Note: received: December 1995 / final version received: August 1996
    as

    Download full text from publisher

    File URL: http://link.springer.de/link/service/journals/00780/papers/7001003/70010229.pdf
    Download Restriction: Access to the full text of the articles in this series is restricted
    File URL: http://link.springer.de/link/service/journals/00780/papers/7001003/70010229.ps.gz
    Download Restriction: Access to the full text of the articles in this series is restricted
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Hidden Markov models; asset allocation; portfolio selection;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:1:y:1997:i:3:p:229-238. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.