Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6895589 | European Journal of Operational Research | 2016 | 9 Pages |
Abstract
To do the latter, we first identify and classify CT returns according to their behavior in different regimes, using a Hidden Markov Model (HMM). The model helps to determine when to open and close positions, depending whether the regime is favorable to CT or not. Finally we employ a mean-semivariance allocation model to improve allocations when positions are opened.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Lorenzo Reus, John M. Mulvey,