Dynamic allocations for currency futures under switching regimes signals

DOI10.1016/j.ejor.2016.02.024zbMath1346.91220OpenAlexW2280456455MaRDI QIDQ323115

John M. Mulvey, Lorenzo Reus

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.02.024

zbMATH Keywords

investment analysiscarry tradecurrency futuresmean-semivariance portfolio optimizationregime identification

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Portfolio theory (91G10)

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Cites Work

• Mean-semivariance models for fuzzy portfolio selection
• Asset allocation under multivariate regime switching
• Hidden Markov models in finance. Further developments and applications. Volume II
• Dynamic asset allocation for varied financial markets under regime switching framework
• Hidden Markov models. Applications to financial economics.
• Hidden Markov Models and Dynamical Systems
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm

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