Hidden Markov models for financial optimization problems
DOI10.1093/IMAMAN/DPP009zbMATH Open1191.90031OpenAlexW1987152456MaRDI QIDQ3557589FDOQ3557589
Authors: D. Roman, Gautam Mitra, Nicola Spagnolo 
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
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stabilityhidden Markov modelsscenario generationconditional value at riskasset pricingextreme events
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Stochastic programming (90C15)
Cited In (12)
- Hidden Markov models for scenario generation
- Stylised facts of financial time series and hidden Markov models in continuous time
- PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
- An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
- Parallel MCMC sampling of AR-HMMs for prediction based option trading
- A hidden Markov multi-assets price model
- Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models
- HMM based scenario generation for an investment optimisation problem
- Hidden Markov models in finance. Further developments and applications. Volume II
- Pattern recognition using hidden Markov models in financial time series
- 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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