IEEE - Institute of Electrical and Electronics Engineers, Inc. - A continuous-time hidden Markov model for mean-variance portfolio optimization

2009 IEEE International Symposium on Circuits and Systems - ISCAS 2009

Author(s): R.J. Elliott ; Tak Kuen Siu
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 May 2009
Conference Location: Taipei, Taiwan
Conference Date: 24 May 2009
Page(s): 1,189 - 1,192
ISBN (CD): 978-1-4244-3828-0
ISBN (Paper): 978-1-4244-3827-3
ISSN (Electronic): 2158-1525
ISSN (Paper): 0271-4302
DOI: 10.1109/ISCAS.2009.5117974
Regular:

We study a mean-variance portfolio selection problem under a hidden Markov regime-switching Black-Scholes-Merton economy with parameter uncertainty. By exploiting the separation principle,... View More

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