Author： Luo Shangzhen
Publisher： Taylor & Francis Ltd
ISSN： 0736-2994
Source： Stochastic Analysis and Applications, Vol.25, Iss.5, 2007-09, pp. : 1057-1078
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Abstract
Techniques of filtering and parameter reestimation of a general hidden Markov model are developed and applied to a discrete time multi-period asset allocation problem, where a commonly used mean-variance utility is considered and recursive calculation of an explicit optimal portfolio is provided. Our result is a generalization of that by Robert J. Elliott and John van der Hoek.
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