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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

Author

Ana Lazcano

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Open access Jul 2026

From Regime Detection to Decision Rules: A Data-Driven Macro-Financial CVaR Framework for European Multi-Asset Portfolios

A data-driven macro-financial framework that combines a four-state Gaussian Hidden Markov Model, estimated on eight weekly macro-financial features, with Conditional Value-at-Risk (CVaR) portfolio optimization across European multi-asset portfolios from January 2000 to April 2026 is developed and evaluated.

Jorge Grube Martín-Lunas, Ana Lazcano, Julio E. Sandubete · 0 citations

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