Dynamic portfolio optimization across hidden market regimes-Reference-Cited by-同舟云学术

Dynamic portfolio optimization across hidden market regimes

Published:2017-07-21 Issue:1 Volume:18 Page:83-95
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Nystrup Peter¹²^ORCID,Madsen Henrik²^ORCID,Lindström Erik³^ORCID

Affiliation:

1. Sampension, Tuborg Havnevej 14, 2900Hellerup, Denmark.

2. Department of Applied Mathematics and Computer Science, Technical University of Denmark, Asmussens Allé, Building 303B, 2800, Kgs. Lyngby, Denmark.

3. Centre for Mathematical Sciences, Lund University, Box 118, 221 00, Lund, Sweden.

Funder

Innovation Fund Denmark

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1342857

Reference50 articles.

1. How Regimes Affect Asset Allocation

2. Regime Changes and Financial Markets

3. A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains

4. Performance Bounds and Suboptimal Policies for Multi-Period Investment

5. Convex Optimization

Cited by 38 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A constrained multi-period portfolio optimization model based on quantum-inspired optimization;Multimedia Tools and Applications;2024-02-29

2. fHMM: Hidden Markov Models for Financial Time Series in R;Journal of Statistical Software;2024

3. Regime-Aware Asset Allocation: a Statistical Jump Model Approach;SSRN Electronic Journal;2024

4. A GANs-Based Approach for Stock Price Anomaly Detection and Investment Risk Management;4th ACM International Conference on AI in Finance;2023-11-25

5. Online portfolio selection with state-dependent price estimators and transaction costs;European Journal of Operational Research;2023-11