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Conference Paper: Asset allocation under regime-switching models

TitleAsset allocation under regime-switching models
Authors
Song, NChing, WKZhu, DSiu, TK
KeywordsAsset allocation
HMM
IHMM
Regime-switching models
SETAR model
Stochastic dynamical system
Issue Date2012
PublisherIEEE. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1002841
Citation
The 5th International Conference on Business Intelligence and Financial Engineering (BIFE 2012), Lanzhou, Gansu, China, 18-21 August 2012. In Conference Proceedings, 2012, p. 144-148 How to Cite?
DOI: http://dx.doi.org/10.1109/BIFE.2012.38
AbstractWe 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. © 2012 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/165343
ISBN
978-0-7695-4750-3
ISI Accession Number ID
WOS:000312497500032

 

DC FieldValueLanguage
dc.contributor.authorSong, Nen_US
dc.contributor.authorChing, WKen_US
dc.contributor.authorZhu, Den_US
dc.contributor.authorSiu, TKen_US
dc.date.accessioned2012-09-20T08:17:29Z-
dc.date.available2012-09-20T08:17:29Z-
dc.date.issued2012en_US
dc.identifier.citationThe 5th International Conference on Business Intelligence and Financial Engineering (BIFE 2012), Lanzhou, Gansu, China, 18-21 August 2012. In Conference Proceedings, 2012, p. 144-148en_US
dc.identifier.isbn978-0-7695-4750-3-
dc.identifier.urihttp://hdl.handle.net/10722/165343-
dc.description.abstractWe 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. © 2012 IEEE.-
dc.languageengen_US
dc.publisherIEEE. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/conhome.jsp?punumber=1002841-
dc.relation.ispartofInternational Conference on Business Intelligence and Financial Engineering Proceedingsen_US
dc.subjectAsset allocation-
dc.subjectHMM-
dc.subjectIHMM-
dc.subjectRegime-switching models-
dc.subjectSETAR model-
dc.subjectStochastic dynamical system-
dc.titleAsset allocation under regime-switching modelsen_US
dc.typeConference_Paperen_US
dc.identifier.emailSong, N: songna200804@gmail.comen_US
dc.identifier.emailChing, WK: wching@hku.hken_US
dc.identifier.emailZhu, D: dongmeizhu86@gmail.com-
dc.identifier.emailSiu, TK: tksiu@graduate.hku.hk-
dc.identifier.authorityChing, WK=rp00679en_US
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1109/BIFE.2012.38-
dc.identifier.scopuseid_2-s2.0-84868125208-
dc.identifier.hkuros207593en_US
dc.identifier.spage144en_US
dc.identifier.epage148en_US
dc.identifier.isiWOS:000312497500032-
dc.publisher.placeUnited states-
dc.customcontrol.immutablesml 130923-

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