Hidden Markov Model for Portfolio Management with Mortgage-Backed Securities Exchange-Traded Fund
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.
The SOA would like to thank the following individuals for serving on the Project Oversight Group:
Robert Reitano, Chair
Pak (Alan) Chan
Steve Siegel, SOA Research Actuary
Barbara Scott, Sr. Research Administrator
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