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Holdings of financial assets: A Markov chain analysis

Author

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  • 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.

Suggested Citation

  • Anderson, John S. & Clements, Kenneth W., 1982. "Holdings of financial assets: A Markov chain analysis," Statistics & Probability Letters, Elsevier, vol. 1(1), pages 36-40, July.
  • Handle: RePEc:eee:stapro:v:1:y:1982:i:1:p:36-40
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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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