Hidden Markov models for financial optimization problems

DOI10.1093/IMAMAN/DPP009zbMath1191.90031OpenAlexW1987152456MaRDI QIDQ3557589

Nicola Spagnolo, Diana Roman, Gautam Mitra

Publication date: 23 April 2010

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpp009

zbMATH Keywords

stabilityasset pricinghidden Markov modelsconditional value at riskscenario generationextreme events

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (2)

An algorithm for moment-matching scenario generation with application to financial portfolio optimisation ⋮ HMM based scenario generation for an investment optimisation problem

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