Portfolio Selection with a Hidden Markov Model

نویسندگان

  • Yi Hua
  • Xikui Wang
چکیده

We consider the problem of investment and consumption with a hidden Markov model and a regime switching structure. The Bayesian approach is followed to integrate econometric consideration and to make inference of the hidden Markov model. The optimal investment strategy is characterized by the method of stochastic dynamic programming and simulation results are given.

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تاریخ انتشار 2014