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

DOI10.1007/S10852-012-9214-4zbMath1280.91161OpenAlexW1990344701MaRDI QIDQ2434780

Rogemar S. Mamon, Xiaojing Xi, 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

regime switchingMarkov chainfilteringinvestment strategyportfolio performance

Mathematics Subject Classification ID

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

Related Items (3)

Modelling and filtering for dynamic investment in the precious-metals market ⋮ Analysis of exchange rates as time-inhomogeneous Markov chain with finite states ⋮ Pricing a guaranteed annuity option under correlated and regime-switching risk factors

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• Can GARCH Models Capture Long-Range Dependence?

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