We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive design that incorporates the latest asset return...

This paper aims to model the dynamics of social deprivation in Mexico using a Markovian approach. First, we establish a scenario where a list of items characterizing social deprivation evolves as a first-order Markov chain under the sample period (2002-2012). Then, we estimate latent states and...

We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model's significant advantage is its intuitive and reactive design that incorporates the latest asset return regimes...

El análisis de los ciclos económicos de las regiones europeas pone de relieve la existencia de importantes asimetrías, que pueden esquematizarse en la configuración de distintos clusters caracterizados por patrones de comportamiento diferentes. La identificación de los distintos grupos...