An application of hidden Markov models to asset allocation problems

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Option pricing and filtering with hidden Markov-modulated pure-jump processes
Hidden Markov models for financial optimization problems
Risk measures for derivatives with Markov-modulated pure jump processes
Long-term strategic asset allocation with inflation risk and regime switching
Optimal stochastic investment games under Markov regime switching market
Duality in optimal consumption-investment problems with alternative data
A new method for option pricing via time-fractional PDE
Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
A stochastic differential game for optimal investment of an insurer with regime switching
A high-order Markov-switching model for risk measurement
Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
Regime switching volatility calibration by the Baum-Welch method
Reliability for discrete state systems with cyclic missions periods
Option pricing and Esscher transform under regime switching
PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
An exact formula for pricing American exchange options with regime switching
A data-driven approach for a class of stochastic dynamic optimization problems
Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
The mean squared loss control problem for a partially observed Markov chain
Option pricing when the regime-switching risk is priced
Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
Perpetual American vanilla option pricing under single regime change risk: an exhaustive study
Local risk-minimization under Markov-modulated exponential Lévy model
Filtering of a multi-dimension stochastic volatility model
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
A benchmark approach to filtering in finance
On financial markets based on telegraph processes
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Optimal stock portfolio selection with a multivariate hidden Markov model
On Markov‐modulated Exponential‐affine Bond Price Formulae
Time-consistent mean-variance pairs-trading under regime-switching cointegration
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
An examination of HMM-based investment strategies for asset allocation
Strategic asset allocation under a fractional hidden Markov model
The regime switching portfolios
Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
A game theoretic approach to option valuation under Markovian regime-switching models
Optimal dividend distribution under Markov regime switching
Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
Transposed Markov matrix as a new decision tool of how to choose among competing investment options in academic medicine
Utility-based indifference pricing in regime-switching models
A jump telegraph model for option pricing
Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
Portfolio selection with jumps under regime switching
Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
Option pricing model based on a Markov-modulated diffusion with jumps
Optimal portfolios with regime switching and value-at-risk constraint
Empirical study on option pricing under Markov regime switching economics
Martingale representation and admissible portfolio process with regime switching
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
Markov decision process algorithms for wealth allocation problems with defaultable bonds
Hidden Markov models with threshold effects and their applications to oil price forecasting
A higher-order hidden Markov chain-modulated model for asset allocation

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