An application of hidden Markov models to asset allocation problems
From MaRDI portal
Publication:1267816
DOI10.1007/S007800050022zbMath0907.90022OpenAlexW1989738013MaRDI QIDQ1267816
John van der Hoek, Robert J. Elliott
Publication date: 9 March 1999
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050022
Related Items (48)
A stochastic differential game for optimal investment of an insurer with regime switching ⋮ Hidden Markov models with threshold effects and their applications to oil price forecasting ⋮ Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes ⋮ Risk measures for derivatives with Markov-modulated pure jump processes ⋮ A new method for option pricing via time-fractional PDE ⋮ Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model ⋮ Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM ⋮ An Exact Formula for Pricing American Exchange Options with Regime Switching ⋮ LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL ⋮ On financial markets based on telegraph processes ⋮ Optimal stock portfolio selection with a multivariate hidden Markov model ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ A higher-order hidden Markov chain-modulated model for asset allocation ⋮ Utility-based indifference pricing in regime-switching models ⋮ Optimal stochastic investment games under Markov regime switching market ⋮ Portfolio selection with jumps under regime switching ⋮ A game theoretic approach to option valuation under Markovian regime-switching models ⋮ Strategic asset allocation under a fractional hidden Markov model ⋮ Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization ⋮ Option pricing and Esscher transform under regime switching ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case ⋮ Filtering of a Multi-Dimension Stochastic Volatility Model ⋮ Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint ⋮ Long-term strategic asset allocation with inflation risk and regime switching ⋮ PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS ⋮ Optimal dividend distribution under Markov regime switching ⋮ The regime switching portfolios ⋮ Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises ⋮ The mean squared loss control problem for a partially observed Markov chain ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ A jump telegraph model for option pricing ⋮ A high-order Markov-switching model for risk measurement ⋮ Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model ⋮ Option pricing model based on a Markov-modulated diffusion with jumps ⋮ Regime switching volatility calibration by the Baum-Welch method ⋮ Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach ⋮ On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy ⋮ Reliability for discrete state systems with cyclic missions periods ⋮ Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns ⋮ Martingale Representation and Admissible Portfolio Process with Regime Switching ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ A data-driven approach for a class of stochastic dynamic optimization problems ⋮ On Markov‐modulated Exponential‐affine Bond Price Formulae ⋮ Option pricing when the regime-switching risk is priced ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach ⋮ A benchmark approach to filtering in finance ⋮ An examination of HMM-based investment strategies for asset allocation
This page was built for publication: An application of hidden Markov models to asset allocation problems
