Article2002

PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS

34 citations0/0 files storedInternational Journal of Theoretical and Applied Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

In 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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

2007Brownian Motion and Stochastic Calculus 1998Methods of Mathematical Finance 1986Stochastic Calculus and Applications.1997An application of hidden Markov models to asset allocation problems 1998Drift and volatility estimation in discrete time 1994Estimating the implicit interest rate of a risky asset

Cited by

2012Option valuation under a regime-switching constant elasticity of variance process

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.