Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
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DOI: 10.1016/j.econmod.2017.07.006
Abstract: Abstract This paper studies an optimal portfolio selection problem under a discrete-time Higher-Order Hidden Markov-Modulated Autoregressive (HO-HMMAR) model for price dynamics. By interpreting the hidden states of the modulating higher-order Markov chain as different states… read more here.
Keywords: model; hmmar model; asset allocation; higher order ... See more keywords