Point and Figure Portfolio Optimization using Hidden Markov Models and Its Application on the Bumi Resources Tbk Shares
Abstract The problem of portfolio optimization is to select a trading strategy which maximizes the expected terminal wealth. Since the stocks are traded at discrete random times in a real-world market, we are interested in a time sampling method. The sampling of stock price is obtained from the proc...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
UIN Syarif Hidayatullah
2021-05-01
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| Series: | InPrime |
| Subjects: | |
| Online Access: | https://journal.uinjkt.ac.id/index.php/inprime/article/view/19376 |