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Holdings of financial assets: A Markov chain analysis

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Author Info

  • Anderson, John S.
  • Clements, Kenneth W.

Abstract

This 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 Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 1 (1982)
Issue (Month): 1 (July)
Pages: 36-40

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Handle: RePEc:eee:stapro:v:1:y:1982:i:1:p:36-40

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Related research

Keywords: Financial asset holdings Markov chain maximum likelihood estimation of transition probabilities with aggregate time series data multivariate stock adjustment model;

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Cited by:
  1. Mark Knezevic, 2006. "Estimating the Long-Term Costs of Diabetic Kidney Disease: an Economic Approach," Economics Discussion / Working Papers 06-06, The University of Western Australia, Department of Economics.

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