Hidden Markov Modelling Regime Dependent Portfolio Construction

The python code script determines the construction of international bond portfolio, which is regime-dependent using the Hidden Markov Model (HMM) process. The script incorporates a comparative analysis of the risk-adjusted return performance metrics between HMM simulated portfolio and the actual portfolio in the last 60-month period of the investment horizon.

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2025-03-17
DOI
https://doi.org/10.5281/zenodo.15038063
Primary Topic
Plant and fungal interactions
Type
article
Field-Weighted Citation Impact
0.00
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article

Hidden Markov Modelling Regime Dependent Portfolio Construction

Zenodo (CERN European Organization for Nuclear Research)
Plant and fungal interactions
article

Hidden Markov Modelling Regime Dependent Portfolio Construction

article en

Abstract

The python code script determines the construction of international bond portfolio, which is regime-dependent using the Hidden Markov Model (HMM) process. The script incorporates a comparative analysis of the risk-adjusted return performance metrics between HMM simulated portfolio and the actual portfolio in the last 60-month period of the investment horizon.

Zenodo (CERN European Organization for Nuclear Research)
Partnerships for the goals
Openalex Percentile: Top 58%
Plant and fungal interactions
DOIOpen Access PDFOpenAlex
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Hidden Markov Modelling Regime Dependent Portfolio Construction · Zenodo (CERN European Organization for Nuclear Research) (2025) | TGRS Research Map | TGRS