An application of hidden Markov models to asset allocation problems

Cited in

(55)

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

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