Bayesian nonparametric portfolio selection with rolling maximum drawdown control

DOI10.1080/14697688.2023.2250386zbMath1530.91533OpenAlexW4386583157MaRDI QIDQ6063325

Xiaoling Mei, Unnamed Author, Weixuan Zhu

Publication date: 7 November 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2250386

zbMATH Keywords

regime switchingmodel predictive controlHDP-HMMtime-varying drawdown control

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Portfolio theory (91G10) Model predictive control (93B45)

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