An application of hidden Markov models to asset allocation problems.
Robert J. ElliottJohn van der HoekPublished in: Finance Stochastics (1997)
Keyphrases
- hidden markov models
- allocation problems
- resource allocation
- speech recognition
- conditional random fields
- hidden states
- gesture recognition
- markov models
- sequential data
- markov model
- viterbi algorithm
- handwritten text recognition
- forward backward
- random effects
- hierarchical hidden markov model
- sequence classification
- higher order