Name
Abstract | ||
|---|---|---|
We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian regime-switching (IHMRS) model and the self-exciting threshold autoregressive (SETAR) model. In the optimal asset allocation problem, the object of the investor is to select an optimal portfolio strategy so as to maximize the expected utility of wealth over a finite investment horizon. We solve the optimal portfolio problem using a dynamic programming approach in a discrete-time set up. Numerical results are provided to illustrate the practical implementation of the models and the impacts of different types of regime switching on optimal portfolio strategies. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1109/BIFE.2012.38 | BIFE |
Keywords | Field | DocType |
discrete-time regime-switching model,regime-switching models,asset allocation,finite investment horizon,dynamic programming approach,optimal asset allocation problem,interactive hidden markovian regime-switching,hidden markovian regime-switching,optimal portfolio strategy,different type,optimal portfolio problem,expected utility,dynamic programming,hidden markov models,setar model,economics,resource management,investment,computational modeling,hmm | Dynamic programming,Mathematical optimization,Economics,Actuarial science,Markov process,Replicating portfolio,Expected utility hypothesis,Portfolio,SETAR,Asset allocation,Black–Litterman model | Conference |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Na Song | 1 | 14 | 2.30 |
| Wai-Ki Ching | 2 | 683 | 78.66 |
| Dong-Mei Zhu | 3 | 1 | 1.37 |
| Tak-Kuen Siu | 4 | 7 | 2.76 |