Adelaide Research & Scholarship
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https://hdl.handle.net/2440/460
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| Type: | Journal article |
| Title: | Portfolio optimization, hidden Markov models, and technical analysis of P and F charts |
| Author: | Elliott, R. Hinz, J. |
| Citation: | International Journal of Theoretical and Applied Finance, 2002; 5(4):385-399 |
| Publisher: | World Scientific Publishing Co Pte Ltd |
| Issue Date: | 2002 |
| ISSN: | 0219-0249 1793-6322 |
| Statement of Responsibility: | Robert Elliott; Juri Hinz |
| 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. |
| Keywords: | Portfolio optimization hidden Markov models. |
| Description: | © World Scientific Publishing Company |
| DOI: | 10.1142/S0219024902001493 |
| Published version: | http://www.worldscinet.com/cgi-bin/details.cgi?id=pii:S0219024902001493&type=html |
| Appears in Collections: | Applied Mathematics publications Aurora harvest |
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