Dynamic portfolio optimization across hidden market regimes

DOI10.1080/14697688.2017.1342857zbMath1471.91509OpenAlexW2736767837WikidataQ60398218 ScholiaQ60398218MaRDI QIDQ4957232

Henrik Madsen, Peter Nystrup, Erik Lindström

Publication date: 3 September 2021

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

Optimal stochastic control (93E20) Portfolio theory (91G10) Model predictive control (93B45)

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Uses Software

• ECOS
• CVXPY

Cites Work

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