On mean-variance portfolio selection under a hidden Markovian regime-switching model

By Robert J. R. Elliott, Tak Kuen Siu, Alexandru Badescu. 2010

79 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1e378b24b22559d5d95c24388d39cac0137c1697

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Guang-Hua Lian
2. Robert J. R. Elliott
3. Tak Kuen Siu
4. Dong-Mei Zhu
5. Lianmin Zhang
6. Wai Ki Ching
7. Samuel N. Cohen
8. Christiane Lemieux

Citations in the corpus

• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “2010 ), for pricing options (Guo and Zhang 2004 , Elliott et al.”
• Hidden Markov models with threshold effects and their applications to oil price forecasting (2016, methodology): “[7] employed an HMM to the mean-variance portfolio selection problem.”