An examination of HMM-based investment strategies for asset allocation

DOI10.1002/ASMB.820zbMath1275.91121OpenAlexW2046839167MaRDI QIDQ2862422

Matt Davison, Christina Erlwein, Rogemar S. Mamon

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.820

zbMATH Keywords

trading strategyinvestmentSharpe ratioportfolio choiceregime switching modelmultivariate HMM filtering method

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes: hypothesis testing (62M02) Portfolio theory (91G10)

Related Items (10)

Putting a price tag on temperature ⋮ Modelling and filtering for dynamic investment in the precious-metals market ⋮ Hidden Markov models with threshold effects and their applications to oil price forecasting ⋮ Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM ⋮ Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility ⋮ Parameter Estimation in a Regime-Switching Model with Non-normal Noise ⋮ HMM based scenario generation for an investment optimisation problem ⋮ A higher-order hidden Markov chain-modulated model for asset allocation ⋮ Online estimation for a predictive analytics platform with a financial-stability-analysis application ⋮ An automated financial indices-processing scheme for classifying market liquidity regimes

Cites Work

• Asset allocation under multivariate regime switching
• An application of hidden Markov models to asset allocation problems
• Exact adaptive filters for Markov chains observed in Gaussian noise
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Adaptive signal processing of asset price dynamics with predictability analysis
• A method for portfolio choice
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• Common risk factors in the returns on stocks and bonds

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