A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization.
Robert J. ElliottTak Kuen SiuPublished in: ISCAS (2009)
Keyphrases
- hidden markov models
- portfolio optimization
- portfolio selection
- portfolio management
- problems involving
- markov chain
- risk management
- factor analysis
- bi objective
- robust optimization
- stock market
- optimization methods
- stock price
- state space
- dynamical systems
- conditional random fields
- stock exchange
- decision support system
- text mining
- face recognition