Holdings of financial assets: A Markov chain analysis
AbstractThis paper introduces the Markov chain model as a simple tool for analyzing the pattern of financial asset holdings over time. The model is based on transition probabilities which give the probability of switching $1 of wealth from one asset to another. An illustrative application is provided.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 1 (1982)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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