Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model.
Yu ZhangZhuo JinJiaqin WeiGeorge YinPublished in: Autom. (2022)
Keyphrases
- hidden markov models
- portfolio selection
- portfolio optimization
- speech recognition
- conditional random fields
- robust optimization
- financial markets
- handwritten word recognition
- multiple objectives
- sequential data
- hidden state
- markov model
- continuous hidden markov models
- hidden states
- long term
- viterbi algorithm
- genetic algorithm