Asset allocation under threshold autoregressive models

DOI10.1002/asmb.897zbMath1286.91127OpenAlexW1979135026MaRDI QIDQ5414497

Hailiang Yang, Na Song, Howell Tong, Tak Kuen Siu, Wa-Ki Ching

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.897

zbMATH Keywords

nonlinearitystochastic dynamical systemdynamical programmingasset allocationconditional heteroscedasticitySETAR modelSTAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Dynamic programming (90C39) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

A self-exciting threshold jump-diffusion model for option valuation ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

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