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Regime-based portfolio optimisation: A Hidden Markov Model approach for fixed income portfolios

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  • Byran Taljaard

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  • Byran Taljaard, 2025. "Regime-based portfolio optimisation: A Hidden Markov Model approach for fixed income portfolios," Working Papers 72, European Stability Mechanism, revised 15 Jun 2025.
    • Handle: RePEc:stm:wpaper:72
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    File URL: https://www.esm.europa.eu/system/files/document/2025-06/WP%2072.pdf
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    References listed on IDEAS

    as
    1. Paul Bilokon & David Finkelstein, 2021. "Iterated and exponentially weighted moving principal component analysis," Papers 2108.13072, arXiv.org.
    2. St'ephane Cr'epey & Lehdili Noureddine & Nisrine Madhar & Maud Thomas, 2022. "Anomaly Detection on Financial Time Series by Principal Component Analysis and Neural Networks," Papers 2209.11686, arXiv.org, revised Oct 2022.
    3. Attilio Meucci, 2010. "Fully Flexible Views: Theory and Practice," Papers 1012.2848, arXiv.org.
    Full references (including those not matched with items on IDEAS)

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