Bayesian nonparametric portfolio selection with rolling maximum drawdown control

DOI10.1080/14697688.2023.2250386MaRDI QIDQ6063325zbMATH OpenOpenAlexFDO

Authors Xiaoling Mei, Weixuan Zhu

Publication date 7 November 2023

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2250386

zbMATH Keywords

HDP-HMMmodel predictive controlregime switchingtime-varying drawdown control

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Portfolio theory (91G10) Model predictive control (93B45)

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Cites work

• A computational scheme for optimal investment - consumption with proportional transaction costs
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A sticky HDP-HMM with application to speaker diarization
• Asset allocation under multivariate regime switching
• Dynamic asset allocation for varied financial markets under regime switching framework
• Dynamic portfolio optimization across hidden market regimes
• Financial planning via multi-stage stochastic optimization.
• Hierarchical Dirichlet Processes
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Model predictive control for dynamic resource allocation
• Multi-period portfolio selection with drawdown control
• Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimum consumption and portfolio rules in a continuous-time model
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

Cited in

(1)

• An inertial block proximal alternating linearized minimization method for cardinality-constrained index tracking problems

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