Adelaide Research & Scholarship
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https://hdl.handle.net/2440/87438
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| Type: | Conference paper |
| Title: | A continuous-time hidden Markov model for mean-variance portfolio optimization |
| Author: | Elliott, R.J. Tak, K.S. |
| Citation: | IEEE International Symposium on Circuits and Systems, 2009, pp.1189-1192 |
| Publisher: | IEEE |
| Issue Date: | 2009 |
| Series/Report no.: | IEEE International Symposium on Circuits and Systems |
| ISBN: | 9781424438280 |
| ISSN: | 0271-4310 |
| Conference Name: | 2009 IEEE International Symposium on Circuits and Systems (ISCAS 2009) (24 May 2009 - 27 May 2009 : Taipei, Taiwan) |
| Statement of Responsibility: | Robert J. Elliott, Tak Kuen Siu |
| Abstract: | 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, we solve the mean-variance portfolio selection problem and the filtering/estimation problem separately. An explicit solution to the mean-variance problem is derived using the stochastic maximum principle. Robust filters of the chain and robust-based EM algorithm for unknown model parameters are developed. |
| Rights: | ©2009 IEEE |
| DOI: | 10.1109/ISCAS.2009.5117974 |
| Published version: | http://dx.doi.org/10.1109/iscas.2009.5117974 |
| Appears in Collections: | Aurora harvest 2 Mathematical Sciences publications |
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