Portfolio selection with imperfect information: A hidden Markov model
Author:
Publisher
Wiley
Subject
Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.885/fullpdf
Reference21 articles.
1. Portfolio selection in stochastic markets with exponential utility functions;Çanakoğlu;Annals of Operations Research,2009
2. Portfolio selection in stochastic markets with HARA utility functions;Çanakoğlu;European Journal of Operational Research,2010
3. A Markov model of the term structure;Pye;The Quarterly Journal of Economics,1966
4. A new approach to the economic analysis of nonstationary time series and the business cycle;Hamilton;Econometrica,1989
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