{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,10,23]],"date-time":"2024-10-23T08:09:41Z","timestamp":1729670981734,"version":"3.28.0"},"reference-count":13,"publisher":"IEEE","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2009,5]]},"DOI":"10.1109\/iscas.2009.5117974","type":"proceedings-article","created":{"date-parts":[[2009,7,1]],"date-time":"2009-07-01T14:59:27Z","timestamp":1246460367000},"page":"1189-1192","source":"Crossref","is-referenced-by-count":0,"title":["A continuous-time hidden Markov model for mean-variance portfolio optimization"],"prefix":"10.1109","author":[{"given":"Robert J.","family":"Elliott","sequence":"first","affiliation":[]},{"given":"Tak Kuen","family":"Siu","sequence":"additional","affiliation":[]}],"member":"263","reference":[{"key":"13","doi-asserted-by":"publisher","DOI":"10.1137\/S0363012902405583"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1109\/TAC.2004.824479"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1109\/18.9793"},{"key":"3","doi-asserted-by":"publisher","DOI":"10.1016\/j.automatica.2008.02.014"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-011-7577-7_41"},{"key":"1","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1007\/s00186-005-0020-x","article-title":"portfolio optimization in stochastic markets","volume":"63","author":"cakmak","year":"2006","journal-title":"Mathematical Methods of Operations Research"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.2307\/2975974"},{"article-title":"on mean-variance portfolio selection under a hidden markovian regime-switching model, haskayne school of business, university of calgary","year":"2008","author":"elliott","key":"7"},{"journal-title":"Hidden Markov Models Estimation and Control","year":"1994","author":"elliott","key":"6"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1109\/18.179372"},{"key":"4","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1016\/0304-4149(86)90018-9","article-title":"parameter estimation of partially observed continuous time stochastic processes","volume":"23","author":"dembo","year":"1986","journal-title":"Stochastic Processes and their Applications"},{"journal-title":"Statistics of Random Processes","year":"2003","author":"lipster","key":"9"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"}],"event":{"name":"2009 IEEE International Symposium on Circuits and Systems - ISCAS 2009","start":{"date-parts":[[2009,5,24]]},"location":"Taipei, Taiwan","end":{"date-parts":[[2009,5,27]]}},"container-title":["2009 IEEE International Symposium on Circuits and Systems"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx5\/5076158\/5117665\/05117974.pdf?arnumber=5117974","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2017,6,18]],"date-time":"2017-06-18T21:28:44Z","timestamp":1497821324000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/5117974\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,5]]},"references-count":13,"URL":"https:\/\/doi.org\/10.1109\/iscas.2009.5117974","relation":{},"subject":[],"published":{"date-parts":[[2009,5]]}}}