Estimating the implicit interest rate of a risky asset
AbstractHidden Markov Models provide an adaptive method of estimating random quantities, that is, they not only consider the quantity under investigation but also revise the parameters of the model. Results of a recent paper are used to determine the implicit interest rate of an asset whose value is given by an equation in log-normal form.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 49 (1994)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Jörn Sass & Ralf Wunderlich, 2010. "Optimal portfolio policies under bounded expected loss and partial information," Computational Statistics, Springer, vol. 72(1), pages 25-61, August.
- Wolfgang Putschögl & Jörn Sass, 2008. "Optimal consumption and investment under partial information," Decisions in Economics and Finance, Springer, vol. 31(2), pages 137-170, November.
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