Open AccessConsumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
Author(s) -
Yang Shen,
Tak Kuen Siu
Publication year - 2017
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2016002
Subject(s) - portfolio optimization , portfolio , computer science , hidden markov model , asset (computer security) , consumption (sociology) , markov chain , markov model , econometrics , financial economics , artificial intelligence , economics , machine learning , computer security , social science , sociology