Dynamic allocations for currency futures under switching regimes signals
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Asset allocation under multivariate regime switching
- Dynamic asset allocation for varied financial markets under regime switching framework
- Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
- Hidden Markov Models and Dynamical Systems
- Hidden Markov models in finance. Further developments and applications. Volume II
- Hidden Markov models. Applications to financial economics.
- Mean-semivariance models for fuzzy portfolio selection
- Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
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(3)- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
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- Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades
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