An examination of HMM-based investment strategies for asset allocation
DOI10.1002/ASMB.820zbMATH Open1275.91121OpenAlexW2046839167MaRDI QIDQ2862422FDOQ2862422
Authors: Christina Erlwein, Matt Davison, Rogemar Mamon 
Publication date: 15 November 2013
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.820
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Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes: hypothesis testing (62M02) Portfolio theory (91G10)
Cites Work
- Common risk factors in the returns on stocks and bonds
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Asset allocation under multivariate regime switching
- An application of hidden Markov models to asset allocation problems
- A method for portfolio choice
- Adaptive signal processing of asset price dynamics with predictability analysis
- Exact adaptive filters for Markov chains observed in Gaussian noise
- Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
Cited In (12)
- Parameter estimation in a regime-switching model with non-normal noise
- Online estimation for a predictive analytics platform with a financial-stability-analysis application
- Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
- Putting a price tag on temperature
- Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
- Modelling and filtering for dynamic investment in the precious-metals market
- Dynamic allocations for currency futures under switching regimes signals
- HMM based scenario generation for an investment optimisation problem
- Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
- Hidden Markov models with threshold effects and their applications to oil price forecasting
- An automated financial indices-processing scheme for classifying market liquidity regimes
- A higher-order hidden Markov chain-modulated model for asset allocation
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