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Hidden Markov Model for Portfolio Management with Mortgage-Backed Securities Exchange-Traded Fund

April 2017

The Society of Actuaries Committee on Finance Research is pleased to make available a research report that provides a primer on the mechanics and uses of the Hidden Markov Model (HMM) for actuarial and financial applications. The report also includes development of a new application for the HMM to mortgage-backed securities exchange-traded funds. The report was authored by Nguyet (Moon) Nguyen.

Materials

Report

Hidden Markov Model for Portfolio Management with Mortgage-Backed Securities Exchange-Traded Fund

Appendix - R Model Codes

Podcast

Thank You

The SOA would like to thank the following individuals for serving on the Project Oversight Group:

Robert Reitano, Chair
Pak (Alan) Chan
Jean-Sebastian Chbani
Steve Craighead
Brian Grossmiller
Doug Norris
Kailan Shang
Pierre Tournier
Steve Siegel, SOA Research Actuary
Barbara Scott, Sr. Research Administrator


Questions Or Comments?

If you have comments or questions, please send an email to research@soa.org.