A continuous-time hidden Markov model for mean-variance portfolio optimization

Robert J. Elliott; Kuen Siu Tak

doi:10.1109/ISCAS.2009.5117974

A continuous-time hidden Markov model for mean-variance portfolio optimization

Robert J. Elliott, Kuen Siu Tak

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

1 Citation (Scopus)

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.

Original language	English
Title of host publication	2009 IEEE International Symposium on Circuits and Systems
Place of Publication	Piscataway, NJ
Publisher	Institute of Electrical and Electronics Engineers (IEEE)
Pages	1189-1192
Number of pages	4
ISBN (Electronic)	9781424438280
ISBN (Print)	9781424438273
DOIs	https://doi.org/10.1109/ISCAS.2009.5117974
Publication status	Published - May 2009
Externally published	Yes
Event	2009 IEEE International Symposium on Circuits and Systems, ISCAS - 2009 - Taipei, Taiwan Duration: 24 May 2009 → 27 May 2009

Other

Other	2009 IEEE International Symposium on Circuits and Systems, ISCAS - 2009
Country/Territory	Taiwan
City	Taipei
Period	24/05/09 → 27/05/09

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10.1109/ISCAS.2009.5117974

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title = "A continuous-time hidden Markov model for mean-variance portfolio optimization",

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.",

author = "Elliott, \{Robert J.\} and Tak, \{Kuen Siu\}",

year = "2009",

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doi = "10.1109/ISCAS.2009.5117974",

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booktitle = "2009 IEEE International Symposium on Circuits and Systems",

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note = "2009 IEEE International Symposium on Circuits and Systems, ISCAS - 2009 ; Conference date: 24-05-2009 Through 27-05-2009",

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Elliott, RJ & Tak, KS 2009, A continuous-time hidden Markov model for mean-variance portfolio optimization. in 2009 IEEE International Symposium on Circuits and Systems., 5117974, Institute of Electrical and Electronics Engineers (IEEE), Piscataway, NJ, pp. 1189-1192, 2009 IEEE International Symposium on Circuits and Systems, ISCAS - 2009, Taipei, Taiwan, 24/05/09. https://doi.org/10.1109/ISCAS.2009.5117974

A continuous-time hidden Markov model for mean-variance portfolio optimization. / Elliott, Robert J.; Tak, Kuen Siu.
2009 IEEE International Symposium on Circuits and Systems. Piscataway, NJ: Institute of Electrical and Electronics Engineers (IEEE), 2009. p. 1189-1192 5117974.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

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A continuous-time hidden Markov model for mean-variance portfolio optimization

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