A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation.

Xiaojing Xi Rogemar S. Mamon Matt Davison

Published in: J. Math. Model. Algorithms Oper. Res. (2014)

Keyphrases

markov chain
markov model
markov process
higher order
monte carlo simulation
monte carlo method
random walk
mathematical model
parameter estimation
transition probabilities
steady state
monte carlo
machine learning
model selection
state space
pairwise
objective function