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An application of hidden Markov models to asset allocation problems

  • Elliott R
  • van der Hoek J
Finance and Stochastics (1997) 1(3) 229-238
DOI: 10.1007/s007800050022
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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.

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Elliott, R. J., & van der Hoek, J. (1997). An application of hidden Markov models to asset allocation problems. Finance and Stochastics, 1(3), 229–238. https://doi.org/10.1007/s007800050022

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