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"A Continuous-time Hidden Markov Model for Mean-variance Portfolio ..."

Robert J. Elliott, Tak Kuen Siu (2009)

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DOI: 10.1109/ISCAS.2009.5117974

access: closed

type: Conference or Workshop Paper

metadata version: 2019-09-25

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  - conf/iscas/ElliottS09
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Robert J. Elliott, Tak Kuen Siu:
A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. ISCAS 2009: 1189-1192

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