Asset Allocation Under Regime-Switching Models

被引：0

作者：

Song, Na ^{[1
]}

Ching, Wai-Ki ^{[1
]}

Zhu, Dong-Mei ^{[1
]}

Siu, Tak-Kuen ^{[2
]}

机构：

[1] Univ Hong Kong, Dept Math, Adv Modeling & Appl Comp Lab, Hong Kong, Hong Kong, Peoples R China

[2] Macquarie Univ, Fac Business & Econom, Ctr Financial Risk, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia

来源：

2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE) | 2012年

关键词：

Asset Allocation; Regime-Switching Models; IHMM; HMM; SETAR Model; Stochastic Dynamical System; CONTINUOUS-TIME MODEL; LIFETIME PORTFOLIO SELECTION; HIDDEN MARKOV MODEL;

D O I：

10.1109/BIFE.2012.38

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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.

引用

页码：144 / 148

页数：5

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