A higher-order hidden Markov chain-modulated model for asset allocation

DOI10.1007/S10852-012-9214-4MaRDI QIDQ2434780zbMATH OpenOpenAlexFDO

Authors Xiaojing Xi, Rogemar Mamon, Matt Davison

Publication date 7 February 2014

Published in Journal of Mathematical Modelling and Algorithms in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10852-012-9214-4

zbMATH Keywords

filteringinvestment strategyMarkov chainportfolio performanceregime switching

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• A high-order Markov-switching model for risk measurement
• An application of hidden Markov models to asset allocation problems
• An examination of HMM-based investment strategies for asset allocation
• Asset allocation under multivariate regime switching
• Can GARCH Models Capture Long-Range Dependence?
• Higher-order multivariate Markov chains and their applications
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• Optimum consumption and portfolio rules in a continuous-time model
• Pricing exotic options under a high-order Markovian regime switching model
• Stylized facts of financial time series and hidden semi-Markov models

Cited in

(12)

• HMM based scenario generation for an investment optimisation problem
• Analysis of exchange rates as time-inhomogeneous Markov chain with finite states
• An examination of HMM-based investment strategies for asset allocation
• Dynamic allocations for currency futures under switching regimes signals
• Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
• Strategic asset allocation under a fractional hidden Markov model
• Modelling and filtering for dynamic investment in the precious-metals market
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• An M-ary detection approach for asset allocation
• Nearly-optimal asset allocation in hybrid stock investment models.
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors
• A high-order Markov-switching model for risk measurement

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