Hidden Markov models for financial optimization problems

DOI10.1093/IMAMAN/DPP009MaRDI QIDQ3557589zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stabilityhidden Markov modelsscenario generationconditional value at riskasset pricingextreme events

Mathematics Subject Classification ID

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

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Cited in

(12)

• Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models
• A hidden Markov multi-assets price model
• Hidden Markov models in finance. Further developments and applications. Volume II
• An automated financial indices-processing scheme for classifying market liquidity regimes
• A higher-order hidden Markov chain-modulated model for asset allocation
• Stylised facts of financial time series and hidden Markov models in continuous time
• Parallel MCMC sampling of AR-HMMs for prediction based option trading
• Hidden Markov models for scenario generation
• PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
• HMM based scenario generation for an investment optimisation problem
• Pattern recognition using hidden Markov models in financial time series
• An algorithm for moment-matching scenario generation with application to financial portfolio optimisation

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