Mean-variance optimization with inferred regimes

DOI10.1007/S10479-024-06267-ZMaRDI QIDQ7008518zbMATH OpenFDO

Authors Leonard C. MacLean, Yonggan Zhao, Oufan Zhang

Publication date 21 March 2025

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-06267-Z

zbMATH Keywords

ETF investmenthidden Markov modelmacroeconomic indicatorsmean-variance optimizationregime-switching auto-regressive factorsregime-switching regression models

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Portfolio theory (91G10)

Cites work

• Common risk factors in the returns on stocks and bonds
• Computing efficient frontiers using estimated parameters
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Mean-variance versus expected utility in dynamic investment analysis
• Risk parity portfolio optimization under a Markov regime-switching framework
• Stable Paretian Random Functions and the Multiplicative Variation of Income

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