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Article: Discrete-Time Optimal Asset Allocation under Higher-Order Hidden Markov Model

TitleDiscrete-Time Optimal Asset Allocation under Higher-Order Hidden Markov Model
Authors
Zhu, DLU, JChing, WKSiu, TK
KeywordsExpectation-Maximization (EM) Algorithm
Higher-Order Autoregressive Hidden Markov Model (HO-HMMAR)
Optimal asset allocation
Utility maximization
Issue Date2017
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecmod
Citation
Economic Modelling, 2017, v. 66, p. 223-232 How to Cite?
DOI: http://dx.doi.org/10.1016/j.econmod.2017.07.006
Persistent Identifierhttp://hdl.handle.net/10722/250543
ISSN
0264-9993
2021 Impact Factor: 3.875
2020 SCImago Journal Rankings: 1.049
ISI Accession Number ID
WOS:000411542400019

 

DC FieldValueLanguage
dc.contributor.authorZhu, D-
dc.contributor.authorLU, J-
dc.contributor.authorChing, WK-
dc.contributor.authorSiu, TK-
dc.date.accessioned2018-01-18T04:28:45Z-
dc.date.available2018-01-18T04:28:45Z-
dc.date.issued2017-
dc.identifier.citationEconomic Modelling, 2017, v. 66, p. 223-232-
dc.identifier.issn0264-9993-
dc.identifier.urihttp://hdl.handle.net/10722/250543-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecmod-
dc.relation.ispartofEconomic Modelling-
dc.rightsPosting accepted manuscript (postprint): © <year>. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/-
dc.subjectExpectation-Maximization (EM) Algorithm-
dc.subjectHigher-Order Autoregressive Hidden Markov Model (HO-HMMAR)-
dc.subjectOptimal asset allocation-
dc.subjectUtility maximization-
dc.titleDiscrete-Time Optimal Asset Allocation under Higher-Order Hidden Markov Model-
dc.typeArticle-
dc.identifier.emailChing, WK: wching@hku.hk-
dc.identifier.authorityChing, WK=rp00679-
dc.identifier.doi10.1016/j.econmod.2017.07.006-
dc.identifier.scopuseid_2-s2.0-85025091725-
dc.identifier.hkuros283977-
dc.identifier.volume66-
dc.identifier.spage223-
dc.identifier.epage232-
dc.identifier.isiWOS:000411542400019-
dc.publisher.placeNetherlands-
dc.identifier.issnl0264-9993-

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