Dynamic portfolio decision under the hidden semi-Markov market

MaRDI QIDQ5197124zbMATH OpenFDO

Authors Qixiang He

Publication date 20 September 2019

zbMATH Keywords

hidden seme-Markov chainlong-term portfoliooptimal stochastic control

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Portfolio selection with imperfect information: a hidden Markov model
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Cited in

(4)

• Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
• Dynamic portfolio optimization across hidden market regimes
• Long-term strategic asset allocation with inflation risk and regime switching
• Dynamic portfolio optimization across hidden market regimes

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