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A method for portfolio choice

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  • Robert Elliott
  • Juri Hinz

Abstract

This paper shows how one can use the theory of hidden Markov models for portfolio optimization. We illustrate our method by a ball and urn experiment. An application to historical data is examined. Copyright © 2003 John Wiley & Sons, Ltd.

Suggested Citation

  • Robert Elliott & Juri Hinz, 2003. "A method for portfolio choice," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(1), pages 1-11, January.
    • Handle: RePEc:wly:apsmbi:v:19:y:2003:i:1:p:1-11
    DOI: 10.1002/asmb.482
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    File URL: https://doi.org/10.1002/asmb.482
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    Cited by:

    1. Christina Erlwein & Peter Ruckdeschel, 2013. "Robustification of Elliott's on-line EM algorithm for HMMs," Papers 1304.2069, arXiv.org.

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