Results 31 to 40 of about 13,400 (267)
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING [PDF]
International Journal of Theoretical and Applied Finance, 2015 We consider a stochastic-factor financial model wherein the asset price and the stochastic-factor processes depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite investment horizon and derive optimal dynamic investment strategies that maximize the investor's expected utility from terminal wealth.
MARCOS ESCOBAR +2 more
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Markov-Switching Bayesian Vector Autoregression Model in Mortality Forecasting
Risks, 2023 We apply a Markov-switching Bayesian vector autoregression (MSBVAR) model to mortality forecasting. MSBVAR has not previously been applied in this context, and our results show that it is a promising tool for mortality forecasting. Our model shows better
Wanying Fu +3 more
doaj +1 more source
Optimal Portfolio Selection in an Itô–Markov Additive Market
Risks, 2019 We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models.
Zbigniew Palmowski +2 more
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Evaluation of fall‐seeded cover crops for grassland nesting waterfowl in eastern South Dakota
Wildlife Society Bulletin, EarlyView., 2023 Cover crops are experiencing a revival among Midwestern farmers, and we assessed their attractiveness and safety for nesting ducks in South Dakota. Nest success was markedly lower in cover crops than in perennial cover during both years of our study, including 2019 which was a best‐case scenario for cover crops, with extremely wet conditions delaying ...
Charles W. Gallman +3 more
wiley +1 more source
Explicit-Duration Markov Switching Models [PDF]
Foundations and Trends® in Machine Learning, 2014 Markov switching models (MSMs) are probabilistic models that employ multiple sets of parameters to describe different dynamic regimes that a time series may exhibit at different periods of time. The switching mechanism between regimes is controlled by unobserved random variables that form a first-order Markov chain.
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MathematicsThis paper considers stochastic optimal control of stochastic differential delay equations (SDDEs) with jumps and Markov switching, and its economical applications.
Mariya Svishchuk, Anatoliy V. Swishchuk
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The Effect of Trade Volume on TEPIX Index in Bear and Bull Cycles: An Application of Markov-Switching Model [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2014 In this paper, the effect of trade volume on TEPIX index is investigated based on bull and bear cycles of Tehran stock Exchange (TSE) using nonlinear Markov-Switching model.
Abbas Kalantari, Navid Khalil Paktinat
doaj
ASYMPTOTICS OF CONTROL PROBLEM FOR THE DIFFUSION PROCESS IN MARKOV ENVIRONMENT
Міжнародний науково-технічний журнал "Проблеми керування та інформатики", 2020 A stochastic optimization procedure and a limit generator of the original problem are constructed for a system of stochastic differential equations with Markov switching and diffusion perturbation with control, which is determined by the condition for ...
Я.М. Чабанюк +2 more
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Markov Switching Vector Autoregressive Modelling of the Nigerian Stock Price and Oil Price Series
Quantitative Economics Research, 2018 This article studied the relationship between stock prices and crude oil prices of Nigeria using a Markov switching model. Certain properties of the stock price series and crude oil price series such as breaks and stationarity, which are necessary before
Emmanuel W Okereke +1 more
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Using Markov switching models to infer dry and rainy periods from telecommunication microwave link signals [PDF]
Atmospheric Measurement Techniques, 2012 A Markov switching algorithm is introduced to classify attenuation measurements from telecommunication microwave links into dry and rainy periods. It is based on a simple state-space model and has the advantage of not relying on empirically estimated ...
Z. Wang +4 more
doaj +1 more source