Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
From MaRDI portal
Publication:6576843
Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- An application of hidden Markov models to asset allocation problems
- An examination of HMM-based investment strategies for asset allocation
- Asset allocation under multivariate regime switching
- Drift and volatility estimation in discrete time
- Dynamic asset allocation for varied financial markets under regime switching framework
- Dynamic portfolio optimization across hidden market regimes
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Estimating the dimension of a model
- Exact adaptive filters for Markov chains observed in Gaussian noise
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- Numeraire portfolios and utility-based price systems under proportional transaction costs
- Optimal Portfolio Revision with a Proportional Transaction Cost
- Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Portfolio optimization in a regime-switching market with derivatives
- Portfolio optimization under transaction costs in the CRR model
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
- Statistical Analysis of Financial Data in S-Plus
This page was built for publication: Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6576843)