Dynamic portfolio optimization across hidden market regimes
DOI10.1080/14697688.2017.1342857zbMATH Open1471.91509OpenAlexW2736767837WikidataQ60398218 ScholiaQ60398218MaRDI QIDQ4957232FDOQ4957232
Authors: Peter Nystrup, Henrik Madsen, Erik Lindström 
Publication date: 3 September 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://backend.orbit.dtu.dk/ws/files/139272081/Dynamic_Portfolio_Optimization_Across_Hidden_Market_Regimes_ACCEPTED.pdf
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Cited In (12)
- Online portfolio selection with state-dependent price estimators and transaction costs
- ESG portfolio for TDFs with time-varying higher moments and cardinality constraint
- MultiObjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control
- Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
- A nonlinear control policy using kernel method for dynamic asset allocation
- Dynamic portfolio optimization across hidden market regimes
- The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
- Bayesian nonparametric portfolio selection with rolling maximum drawdown control
- Discovery of multi-component portfolio strategies with continuous tuning to the changing market micro-regimes using input-dependent boosting.
- Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models
- Group sparse enhanced indexation model with adaptive beta value
- STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET
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