An examination of HMM-based investment strategies for asset allocation

DOI10.1002/ASMB.820MaRDI QIDQ2862422zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

regime switching modelSharpe ratioinvestmentportfolio choicetrading strategymultivariate HMM filtering method

Mathematics Subject Classification ID

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)

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Cites work

• A method for portfolio choice
• Adaptive signal processing of asset price dynamics with predictability analysis
• An application of hidden Markov models to asset allocation problems
• Asset allocation under multivariate regime switching
• Common risk factors in the returns on stocks and bonds
• Exact adaptive filters for Markov chains observed in Gaussian noise
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain

Cited in

(12)

• An automated financial indices-processing scheme for classifying market liquidity regimes
• Parameter estimation in a regime-switching model with non-normal noise
• Online estimation for a predictive analytics platform with a financial-stability-analysis application
• Putting a price tag on temperature
• Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
• 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
• A higher-order hidden Markov chain-modulated model for asset allocation

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