Dynamic portfolio optimization across hidden market regimes

DOI10.1080/14697688.2017.1342857zbMath1400.91560OpenAlexW2736767837WikidataQ60398218 ScholiaQ60398218MaRDI QIDQ4554411

Henrik Madsen, Erik Lindström, Peter Nystrup

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://backend.orbit.dtu.dk/ws/files/139272081/Dynamic_Portfolio_Optimization_Across_Hidden_Market_Regimes_ACCEPTED.pdf

zbMATH Keywords

hidden Markov modelforecastingadaptive estimationmodel predictive controlmean-variance optimizationmulti-period portfolio selection

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) Portfolio theory (91G10)

Related Items (4)

Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach ⋮ Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network ⋮ Multi-period portfolio selection with drawdown control ⋮ Hidden Markov models: inverse filtering, belief estimation and privacy protection

Uses Software

• ECOS
• CVXPY

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multi-period portfolio optimization with linear control policies
• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
• Stylized facts of financial time series and hidden semi-Markov models
• Asset allocation under multivariate regime switching
• Strategic asset allocation
• Inference in hidden Markov models.
• Finite mixture and Markov switching models.
• CVXPY: A Python-Embedded Modeling Language for Convex Optimization
• Trend Following Trading under a Regime Switching Model
• Sparse and stable Markowitz portfolios
• On a general concept of forgetting
• Continuous-Time Markowitz's Model with Transaction Costs
• Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
• An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
• Risk-sensitive linear/quadratic/gaussian control
• Recursive forgetting algorithms
• Stylised facts of financial time series and hidden Markov models in continuous time
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Risk and asset allocation.

This page was built for publication: Dynamic portfolio optimization across hidden market regimes