PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
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Publication:3022050
DOI10.1142/S0219024902001493zbMath1107.91331OpenAlexW2077590131MaRDI QIDQ3022050
Publication date: 22 June 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024902001493
Related Items (15)
Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes ⋮ Risk measures for derivatives with Markov-modulated pure jump processes ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ Utility-based indifference pricing in regime-switching models ⋮ Optimal insurance in a changing economy ⋮ Stochastic switching for partially observable dynamics and optimal asset allocation ⋮ A game theoretic approach to option valuation under Markovian regime-switching models ⋮ Option pricing and Esscher transform under regime switching ⋮ A PDE approach for risk measures for derivatives with regime switching ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model ⋮ On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy ⋮ On Markov‐modulated Exponential‐affine Bond Price Formulae ⋮ Option pricing when the regime-switching risk is priced ⋮ Portfolio selection with imperfect information: A hidden Markov model
Cites Work
- Maximum-likelihood estimation for hidden Markov models
- An application of hidden Markov models to asset allocation problems
- Estimating the implicit interest rate of a risky asset
- Exact adaptive filters for Markov chains observed in Gaussian noise
- Drift and volatility estimation in discrete time
- Hidden Markov Models for Speech Recognition
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