Pages that link to "Item:Q1267816"
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The following pages link to An application of hidden Markov models to asset allocation problems (Q1267816):
Displaying 50 items.
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
- Strategic asset allocation under a fractional hidden Markov model (Q479173) (← links)
- The regime switching portfolios (Q538326) (← links)
- Transposed Markov matrix as a new decision tool of how to choose among competing investment options in academic medicine (Q634386) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization (Q664261) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
- Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
- A high-order Markov-switching model for risk measurement (Q980081) (← links)
- Option pricing model based on a Markov-modulated diffusion with jumps (Q985996) (← links)
- Regime switching volatility calibration by the Baum-Welch method (Q989132) (← links)
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724) (← links)
- Option pricing when the regime-switching risk is priced (Q1036916) (← links)
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (Q1740034) (← links)
- Optimal dividend distribution under Markov regime switching (Q1761453) (← links)
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- A data-driven approach for a class of stochastic dynamic optimization problems (Q2057219) (← links)
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach (Q2076436) (← links)
- Reliability for discrete state systems with cyclic missions periods (Q2281839) (← links)
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns (Q2288946) (← links)
- A higher-order hidden Markov chain-modulated model for asset allocation (Q2434780) (← links)
- Optimal stochastic investment games under Markov regime switching market (Q2438402) (← links)
- A benchmark approach to filtering in finance (Q2575441) (← links)
- Hidden Markov models with threshold effects and their applications to oil price forecasting (Q2628183) (← links)
- Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673) (← links)
- An examination of HMM-based investment strategies for asset allocation (Q2862422) (← links)
- LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL (Q2947346) (← links)
- Filtering of a Multi-Dimension Stochastic Volatility Model (Q3005154) (← links)
- PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS (Q3022050) (← links)
- Martingale Representation and Admissible Portfolio Process with Regime Switching (Q3081441) (← links)
- A stochastic differential game for optimal investment of an insurer with regime switching (Q3169215) (← links)
- Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516) (← links)
- Perpetual American vanilla option pricing under single regime change risk: an exhaustive study (Q3301076) (← links)
- On Markov‐modulated Exponential‐affine Bond Price Formulae (Q3395727) (← links)
- On financial markets based on telegraph processes (Q3498586) (← links)
- Hidden Markov models for financial optimization problems (Q3557589) (← links)
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749) (← links)
- A new method for option pricing via time-fractional PDE (Q4556420) (← links)
- Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM (Q4562474) (← links)
- An Exact Formula for Pricing American Exchange Options with Regime Switching (Q4562482) (← links)
- Long-term strategic asset allocation with inflation risk and regime switching (Q4911230) (← links)
- Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (Q4971976) (← links)
- DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS (Q5111484) (← links)
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
- Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises (Q5421608) (← links)
- A jump telegraph model for option pricing (Q5433103) (← links)
- Markov decision process algorithms for wealth allocation problems with defaultable bonds (Q5740694) (← links)
- The mean squared loss control problem for a partially observed Markov chain (Q5742538) (← links)
