Optimal stock portfolio selection with a multivariate hidden Markov model

DOI10.1007/s13571-022-00290-5MaRDI QIDQ6108886

Reetam Majumder, Qing Ji, Nagaraj K. Neerchal

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

zbMATH Keywords

stochastic simulationsGaussian copulamultivariate Markov chainportfolio allocationlinked hidden Markov model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Probabilistic graphical models (62H22)

Cites Work

• An introduction to copulas.
• An application of hidden Markov models to asset allocation problems
• A new family of power transformations to improve normality or symmetry
• VARIATIONAL BAYESIAN ANALYSIS FOR HIDDEN MARKOV MODELS
• Truncated regular vines in high dimensions with application to financial data
• Ordinal Measures of Association
• Basics of Applied Stochastic Processes
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Mixture and Hidden Markov Models with R
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