Asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008. Portfolio optimization is the most developed method to examine the optimal decision for asset allocation. We employ the hidden Markov model to identify...

Following the increased accessibility of retail investors to the financial sector, the indication of their risk propensity has become important to the industry. This research aims to identify the correlation between the existing customer risk aversion analysis method and the actual investment...