Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/79079
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Type: | Journal article |
Title: | Strategic asset allocation under a fractional hidden markov model |
Author: | Elliott, R. Siu, T. |
Citation: | Methodology and Computing in Applied Probability, 2014; 16(3):609-626 |
Publisher: | Kluwer Academic Publishers |
Issue Date: | 2014 |
ISSN: | 1387-5841 1573-7713 |
Statement of Responsibility: | Robert J. Elliott, Tak Kuen Siu |
Abstract: | Strategic asset allocation is discussed in a discrete-time economy, where the rates of return from asset classes are explained in terms of some observable and hidden factors. We extend the existing models by incorporating long-term memory in the rates of return and observable economic factors, which have been documented in the empirical literature. Hidden factors are described by a discrete-time, finite-state, hidden Markov chain noisily observed in a fractional Gaussian process. The strategic asset allocation problem is discussed in a mean-variance utility framework. Filtering and parameter estimation are also considered in the hybrid model. |
Keywords: | Strategic asset allocation Long memory Hidden Markov models Fractional Gaussian VAR process Mean-variance utility 91B28 91B70 |
Rights: | © Springer Science+Business Media New York 2013 |
DOI: | 10.1007/s11009-012-9318-3 |
Published version: | http://dx.doi.org/10.1007/s11009-012-9318-3 |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.