HMM based scenario generation for an investment optimisation problem
نویسندگان
چکیده
منابع مشابه
HMM based scenario generation for an investment optimisation problem
The Geometric Brownian motion (GBM) is a standard method for modeling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, GBM has been considered unable to properly capture important features, like extreme behaviour or volatility clustering. We propose an approach by which, the parameters of the GBM follow...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2011
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-011-0865-8