Work

Hidden Markov Modelling Regime Dependent Portfolio Construction

Year: 2025

Type: dissertation

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.

Source: Zenodo (CERN European Organization for Nuclear Research)

DOI: 10.5281/zenodo.15038063

Author: KIHEKA, JESSE

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W6893362707

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