Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/79079
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Siu, T. | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Methodology and Computing in Applied Probability, 2014; 16(3):609-626 | - |
dc.identifier.issn | 1387-5841 | - |
dc.identifier.issn | 1573-7713 | - |
dc.identifier.uri | http://hdl.handle.net/2440/79079 | - |
dc.description.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. | - |
dc.description.statementofresponsibility | Robert J. Elliott, Tak Kuen Siu | - |
dc.language.iso | en | - |
dc.publisher | Kluwer Academic Publishers | - |
dc.rights | © Springer Science+Business Media New York 2013 | - |
dc.source.uri | http://dx.doi.org/10.1007/s11009-012-9318-3 | - |
dc.subject | Strategic asset allocation | - |
dc.subject | Long memory | - |
dc.subject | Hidden Markov models | - |
dc.subject | Fractional Gaussian VAR process | - |
dc.subject | Mean-variance utility | - |
dc.subject | 91B28 | - |
dc.subject | 91B70 | - |
dc.title | Strategic asset allocation under a fractional hidden markov model | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1007/s11009-012-9318-3 | - |
pubs.publication-status | Published | - |
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.