Name
Abstract | ||
|---|---|---|
We study a mean-variance portfolio selection problem under a hidden Markov regime-switching Black-Scholes-Merton economy with parameter uncertainty. By exploiting the separation principle, we solve the mean-variance portfolio selection problem and the filtering/estimation problem separately. An explicit solution to the mean-variance problem is derived using the stochastic maximum principle. Robust filters of the chain and robust-based EM algorithm for unknown model parameters are developed. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1109/ISCAS.2009.5117974 | ISCAS: 2009 IEEE INTERNATIONAL SYMPOSIUM ON CIRCUITS AND SYSTEMS, VOLS 1-5 |
Keywords | Field | DocType |
switches,economics,separation principle,security,robustness,stochastic processes,finance,econometrics,hidden markov model,filtering,portfolio optimization,differential equations,em algorithm,hidden markov models | Mathematical optimization,Maximum principle,Separation principle,Markov model,Computer science,Expectation–maximization algorithm,Portfolio,Portfolio optimization,Hidden Markov model,Hidden semi-Markov model | Conference |
Citations | PageRank | References |
0 | 0.34 | 6 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robert J. Elliott | 1 | 333 | 50.13 |
| Tak Kuen Siu | 2 | 114 | 20.25 |