Beyond static risk aversion: online multi-period mean-variance portfolio optimization using hidden Markov chains
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S Liu, C Jin, J Gao, W Wu
OR Spectrum, 2026
Springer
Recognizing that investors' risk preferences evolve in response to dynamically changing market conditions, which are often unobservable and exhibit regime-switching behavior, this paper addresses multi-period mean-variance (MMV) portfolio optimization with market-regime-dependent risk parameters and partially observed market information. The model incorporates a regime-switching framework represented by hidden Markov models (HMM) with Gaussian emission probabilities. This approach mirrors financial practice, where …
