[HTML][HTML] Regime-switching factor investing with hidden Markov models
M Wang, YH Lin, I Mikhelson - Journal of Risk and Financial Management, 2020 - mdpi.com
This study uses the hidden Markov model (HMM) to identify different market regimes in the
US stock market and proposes an investment strategy that switches factor investment …
US stock market and proposes an investment strategy that switches factor investment …